Limit theorems for the shifting level process

Daren B. H. Cline
1983 Journal of Applied Probability  
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 added 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.
doi:10.2307/3213805 fatcat:bsubmmn2gff7hnvraviiyhniy4