Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

Tianze Liu and Yong Zhang

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 5, 1082-1098

Abstract: In this paper, we consider the law of the iterated logarithm for error density estimators in the nonlinear autoregressive models under appropriate assumptions. Moreover we get the law of the iterated logarithm for error density estimators in first-order autoregressive models and threshold models as corollaries.

Date: 2020
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DOI: 10.1080/03610926.2018.1554129

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