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

DOI10.1016/0047-259X(83)90002-7zbMath0509.62081MaRDI QIDQ1838257

Ching-Zong Wei, Tze Leung Lai

Publication date: 1983

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

characteristic polynomialstrong consistencyleast-squares estimatesgeneral autoregressive modelsnon- explosive modelspurely explosive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15)

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