The asymptotic behaviors for least square estimation of multi-casting autoregressive processes

This paper mainly discusses the asymptotic properties of multi-casting autoregressive processes. By using the m-dependence of random vectors, we prove that the least squares (LS) estimator of the unknown parameters satisfies the moderate deviation principle. Two examples of regular cases are also presented.

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Year of publication:	2014
Authors:	Mao, Mingzhi
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 129.2014, C, p. 110-124
Publisher:	Elsevier
Subject:	Moderate deviation \| Autoregressive process \| m-dependent \| Gärtner–Ellis Theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041894