Asymptotic analysis for bifurcating autoregressive processes via a martingale approach

Details Asymptotic analysis for bifurcating autoregressive processes via a martingale approach Asymptotic analysis for bifurcating autoregressive processes via a martingale approach

2008-07-03

arxiv.org/abs/0807.0528v2

Mathematics

Probability

Scientific paper

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.

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