On Conditional Least Squares Estimation for Stochastic Processes
On Conditional Least Squares Estimation for Stochastic Processes
An estimation procedure for stochastic processes based on the minimization of a sum of squared deviations about conditional expectations is developed. Strong consistency, asymptotic joint normality and an iterated logarithm rate of convergence are shown to hold for the estimators under a variety of conditions. Special attention is given to …