Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots (Q4275821): Difference between revisions

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scientific article; zbMATH DE number 487301

Language	Label	Description	Also known as
English	Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots	scientific article; zbMATH DE number 487301

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instance of

scholarly article

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title

Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots (English)

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published in

Communications in Statistics - Theory and Methods

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publication date

20 November 1994

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zbMATH Keywords

phi-mixing error sequence

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least squares estimator

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autoregressive process

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uniformly bounded fourth order moments

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invariance principle

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explosive case

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610929308831144

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cites work

On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

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Q5631966

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Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component

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Q5560061

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Limiting distributions of least squares estimates of unstable autoregressive processes

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Estimation of the parameters of stochastic difference equations

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On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models

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Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters

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On the Statistical Treatment of Linear Stochastic Difference Equations

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Towards a unified asymptotic theory for autoregression

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Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)

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Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations

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Asymptotic distribution of an estimator of the boundary parameter of an unstable process

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The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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Identifiers

zbMATH Open document ID

0799.62095

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DOI

10.1080/03610929308831144

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4275821

@@ Property / cites work @@
+On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
+Normal rank
@@ Property / cites work @@
+Q5631966
@@ Property / cites work: Q5631966 / rank @@
+Normal rank
@@ Property / cites work @@
+Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Limiting distributions of least squares estimates of unstable autoregressive processes
+Normal rank
@@ Property / cites work @@
+Estimation of the parameters of stochastic difference equations
+Normal rank
@@ Property / cites work @@
+On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
+Normal rank
@@ Property / cites work @@
+On the Statistical Treatment of Linear Stochastic Difference Equations
+Normal rank
@@ Property / cites work @@
+Towards a unified asymptotic theory for autoregression
+Normal rank
@@ Property / cites work @@
+Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
+Normal rank
@@ Property / cites work @@
+Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
+Normal rank
@@ Property / cites work @@
+Asymptotic distribution of an estimator of the boundary parameter of an unstable process
+Normal rank
@@ Property / cites work @@
+The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
+Normal rank