Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process

Jiang Hui and Yu Lei

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 7, 1483-1496

Abstract: In this article, we study the precise asymptotic behaviors of the least-squares estimator in the Gaussian autoregressive process. Two kinds of complete moment convergence of this estimator can be obtained by the methods of deviation inequalities for this estimator and nonuniform Berry-Esseen bound for martingales.

Date: 2015
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DOI: 10.1080/03610926.2012.763098

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