Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method

DOI10.1214/aos/1176347875zbMath0721.62091OpenAlexW2040868087MaRDI QIDQ2641054

Dawei Huang, Lei Guo

Publication date: 1990

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347875

zbMATH Keywords

least squaresnonstationaryAlmost sure convergencestochastic Lyapunov functionsorder estimationARMAX modelspositive realcoefficients of linear feedback control systemsdouble array martingalesHannan-Rissanen methodnon-negative supermartingales

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15) Identification in stochastic control theory (93E12)

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