Nonstationary time series identification (Q1116608)

Strongly consistent estimates are given for both unknown parameters and orders of the nonstationary time series, where the nonstationarity arises because: (1) at any time n a feedback control is added to the usual ARMA process which is successfully applied to modelling economic systems and (2) det A(z) may have zeros on the unit circle in addition to those located outside the unit disk, where A(z) is the matrix polynomial corresponding to the AR part of the ARMA process.