Strong convergence of estimators in nonlinear autoregressive models

Eckhard Liebscher

Journal of Multivariate Analysis, 2003, vol. 84, issue 2, 247-261

Abstract: In the paper we prove rates of strong convergence of M-estimators for the parameters in a general nonlinear autoregressive model. In the proofs we utilize a variational principle from stochastic optimization theory which was proved by Shapiro (Ann. Oper. Res. 30 (1991) 169). The application of the general theory is illustrated in the case of continuous threshold models.

Keywords: Nonlinear; autoregressive; model; M-estimators; Strong; convergence; Threshold; models (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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