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Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process |
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| Authors: | Jiang Hui Yu Lei |
| Affiliation: | 1. Department of Mathematics, Nanjing University of Aeronautics and Astronautics, Nanjing, Chinahuijiang@nuaa.edu.cn;3. Department of Mathematics, Nanjing University of Aeronautics and Astronautics, Nanjing, China |
| Abstract: | In this article, we study the precise asymptotic behaviors of the least-squares estimator in the Gaussian autoregressive process. Two kinds of complete moment convergence of this estimator can be obtained by the methods of deviation inequalities for this estimator and nonuniform Berry-Esseen bound for martingales. |
| Keywords: | Complete moment convergence convergence rate Gaussian autoregressive process law of iterated logarithm precise asymptotic |