2012/02/02 by Vassili Blandin, Blandin, Vassili
Economics, Econometrics and Finance · Mathematics · Decision Sciences · #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Probability and Risk Models
paper · doi:10.48550/arxiv.1202.0470
We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure convergence of our estimators, together with the quadratic strong law and central limit theorems. All our investigation relies on asymptotic results for vector-valued martingales.