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Maximum Likelihood Estimators in Non Linear Autoregressive Processes

  • Henkouche Meriem
Conference paper

Summary

This paper is concerned with some asymptotic properties of the maximum likelihood estimator of a multivariate parameter for a stable non linear autogressive process. Under suitable assumptions, the consistency, the asymptotic normality and the rate of convergence in distribution (O(n -1/2)) are settled. This rate is the same as in idd case.

References

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Copyright information

© Springer-Verlag Berlin Heidelberg 1993

Authors and Affiliations

  • Henkouche Meriem
    • 1
  1. 1.Institut d’InformatiqueORANAlgerie

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