Abstract
In Jennrich (1969) the modelis considered, wherex(n) is a sequence of i.i.d. (0,σ2) random variables andz(n;θ) is a continuous but possibly non-linear function ofθ∈Θ, Θ being a compact set inRp. We shall use a second subscript when referring to a particular coordinate ofθ0so thatθ0jis thejth coordinate. Jennrich establishes, under suitable conditions onz(n;θ) andx(n), the strong consistency and asymptotic normality of the least squares estimates ofθ.Our main purpose here is to extend these results to the case wherex(n) is generated by a stationary time series.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
16 articles.
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