Estimation of the parameters of stochastic difference equations

DOI10.1214/AOS/1176345457MaRDI QIDQ1171857zbMATH OpenOpenAlexFDO

Authors Wayne A. Fuller, David P. Hasza, J. Jeffery Goebel

Publication date 1981

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

Full work available at URL https://doi.org/10.1214/aos/1176345457

zbMATH Keywords

time seriesautoregressive processestimation of parameters of stochastic difference equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Random operators and equations (aspects of stochastic analysis) (60H25)

Cited in

(16)

• DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
• Explosive strong periodic autoregression with multiplicity one
• Decomposition of an autoregressive process into first order processes
• Asymptotic inference for unstable auto-regressive time series with drifts
• Least squares estimation of the coefficients of a partially explosive model, with polynomial regressions of same degree, generating a pair of related time series
• On limiting distributions in explosive autoregressive processes
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• Pfriodograms of unit root time series: distributions and tests
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Mean estimation bias in least squares estimation of autoregressive processes
• The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
• Asymptotic theory and unified confidence region for an autoregressive model
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
• Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component
• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
• Regression with integrated regressors

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