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Original Articles

Nonlinear nonnegative ar(1) processes

Pages 4029-4037 | Received 01 Apr 1989, Published online: 27 Jun 2007
 

Abstract

Let {et} be a nonnegative strict white noise and Xtan independent nonnegative random variable. For t ≧ 2 define where g is a nonnegative function and b ≧ 0. Then is an estimator for b . Under some general conditions, which do not include stationarity, it is proved that is strongly consistent.

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