Non Linear ARX-Models: Probabilistic Properties and Consistent Recursive Estimation

P. Doukhan and Alexandre Tsybakov
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P. Doukhan: U.R.A., Université Paris-Sud, France

No 1992056, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Consider the general ARX(k, q) nonlinear process defined by the recurrence relation Yn = f(Y_(n-1),... y_(n-k), x_n,..., x_(n-q+1)) +([ xi ]_n) where { x_n},{ [xi]_n} are independent i.i.d. sequences. We study some probabilistic properties of this process in the ergodic situation and propose a recursive estimator of the stochastic gradient kind of the function f which is strongly consistent.

Date: 1992-10-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1992056

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