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Comptes Rendus Mathématique
Volume 354, n° 1
pages 107-111 (janvier 2016)
Doi : 10.1016/j.crma.2015.10.008
Received : 30 December 2014 ;  accepted : 19 October 2015
Parametric estimation in autoregressive processes under quasi-associated random errors
Estimation paramétrique dans des processus autorégressifs sous des erreurs quasi associées
 

Idir Arab a , Abdelnasser Dahmani b
a Department of Mathematics, Laboratory of Applied Mathematics, University of Bejaia 06000, Algeria 
b Centre Universitaire de Tamanrasset 

Abstract

In this paper, we study the consistence of a recurrent stochastic algorithm under quasi-associated random errors. Kholev's algorithm estimates an unknown non-zero parameter θ introduced in a nonlinear autoregressive model. We establish the complete convergence and deduce a confidence interval for θ .

The full text of this article is available in PDF format.
Résumé

Dans cette note, on étudie la consistance d'un algorithme récurrent sous des erreurs quasi-associées. L'algorithme de Kholev approxime un paramètre non nul θ introduit dans un modèle autorégressif. On établit la convergence complète et on déduit un intervalle de confiance pour θ .

The full text of this article is available in PDF format.

Keywords : Autoregressive processes, Parametric estimation, Quasi-associated random variables



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