On Hartman's law of iterated logarithm for explosive Gaussian autoregressive processes

• Autorzy: Bercu B. , Touati A.
• Języki publikacji: EN

Abstrakty

EN

A law of iterated logarithm is established for the maximum likelihood estimator of the unknown parameter of the explosive Gaussian autoregressive process. Outside the Gaussian case, we show that the law of iterated logarithm does not hold, except for a suitable averaging on the maximum likelihood estimator.

Słowa kluczowe

EN

autoregressive Gaussian process; law of iterated logarithm; maximum likelihood estimation

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2002
• Tom: Vol. 22, Fasc. 1
• Strony: 101--113
• Opis fizyczny: Biblogr. 23 poz.

Twórcy

autor

Bercu B.

• Laboratoire de Mathkmatiques, UMR 8628 CNRS, Bâtiment 425, Université Paris-Sud, 91405 Orsay Cedex, France

autor

Touati A.

• Laboratoire de Mathhatiques, UMR 7534 CNRS, Place du Marécha1 Delattre de Tassigny, 75775 Paris Cedex 16, France

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