Limit Theorems for the Shifting Level Process
نویسندگان
چکیده
This paper studies the asymptotic properties of moment estimators for the general shifting level process (SLP). A law of large numbers and a weak convergence theorem are obtained under conditions involving the unobservable processes which make up SLP. Specific conditions about those underlying processes are acided to give explicit results, applicable to a large class of moment estimators. Actual formulae for asymptotic variances, etc. are obtained for a simple example, the GNN model. SHIFTING LEVEL. PROCESS; LAW OF LARGE NUMBERS; WEAK CONVERGENCF. MOMENT ESTIMATORS; ERGODICITY. 19-MIXING; /-DEPENDENCE
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