Asymptotic analysis for bifurcating autoregressive processes via a martingale approach - Archive ouverte HAL
Article Dans Une Revue Electronic Journal of Probability Année : 2009

Asymptotic analysis for bifurcating autoregressive processes via a martingale approach

Résumé

We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence and suitable moment conditions, we establish the almost sure convergence of our estimators together with the quadratic strong law and the central limit theorem. All our analysis relies on non-standard asymptotic results for martingales.

Dates et versions

hal-00293341 , version 1 (04-07-2008)

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Bernard Bercu, Benoîte de Saporta, Anne Gegout-Petit. Asymptotic analysis for bifurcating autoregressive processes via a martingale approach. Electronic Journal of Probability, 2009, 14 (87), pp.2492-2526. ⟨hal-00293341⟩
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