Asymptotic Properties of Dynamic Stochastic Parameter Estimates (III).

Abstract

UM,Bernt P. ;MSC-TSR-1362DA-31-124-ARO(D)462Revision of report dated 2 Jul 73. See also report dated Dec 72, AD-755 069.*Stochastic processes, *Time series analysis, Difference equations, Asymptotic series, TheoremsParameter estimation, *Stochastic differential equationsIn the paper the author establishes three theorems concerning the asymptotic distributions of ordinary least-squares estimates of the parameters of a stochastic difference equation. It is shown that, if there is at least one root of the associated characteristic equation with modulus less than one and if all the roots have moduli different from one, the vector of least-squares estimates converges in distribution to a normally distributed vector. The distribution of the limiting vector is degenerate if there is at least one root with modulus greater than one. (Modified author abstract)

Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1973
Accession Number
AD0773604

Entities

People

  • Bernt P. Stigum

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Asymptotic Series
  • Difference Equations
  • Differential Equations
  • Equations
  • Mathematical Analysis
  • Mathematics
  • Real Variables
  • Stochastic Processes
  • Time Series Analysis

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Linear Algebra
  • Technical Research and Report Writing.