Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 109p-136p
Abstract:
We build the Conditional Least Squares Estimator of 0 based on the observation of a single trajectory of {Zk,Ck}k, and give conditions ensuring its strong consistency. The particular case of general linear models according to 0=( 0, 0) and among them, regenerative processes, are studied more particularly. In this frame, we may also prove the consistency of the estimator of 0 although it belongs to an asymptotic negligible part of the model, and the asymptotic law of the estimator may also be calculated.
