Strong approximation of vector-valued stochastic integrals

László Gerencsér

Statistics & Probability Letters, 1991, vol. 12, issue 3, 201-207

Abstract: We present a strong approximation technique which is useful to develop fine asymptotic results for parameter estimator processes of linear stochastic systems. Among other applications Rissanen's tail-condition has been verified for Gaussian ARMA processes using the results of this paper.

Keywords: Strong; approximation; central; limit; theorem; tail-probabilities; estimation; theory; linear; stochastic; systems (search for similar items in EconPapers)
Date: 1991
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