Consistency properties of least squares estimates of autoregressive parameters in ARMA models
From MaRDI portal
Publication:1056499
DOI10.1214/aos/1176346252zbMath0523.62076OpenAlexW2058270361MaRDI QIDQ1056499
Publication date: 1983
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176346252
nonstationarityARMA modelsautoregressionleast squares estimatesunified treatment of consistency properties
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
Related Items (24)
About estimation of ARIMA process with strong mixing MA part ⋮ The Berry–Esseen Bounds for Sample Rescaled Poly-Variograms ⋮ Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire ⋮ ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS ⋮ Estimation of the parameters for unstable AR models ⋮ On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model ⋮ A Review of Seasonal Adjustment Diagnostics ⋮ Asymptotic inference in regression models with autoregressive errors having roots on the unit circle ⋮ LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES ⋮ Instability detection of ARMA systems based on AR system identification ⋮ Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞) ⋮ Estimation of parameters in ARUMA models ⋮ Multiresolution anomaly detection method for fractional Gaussian noise ⋮ Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations ⋮ Asymptotically efficient order selection in nonstationary AR processes ⋮ Bias correction for outlier estimation in time series ⋮ Estimating linear representations of nonlinear processes ⋮ ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS ⋮ Some weighted mixed portmanteau tests for diagnostic checking in linear time series models ⋮ On explaining the surprising success of reservoir computing forecaster of chaos? The universal machine learning dynamical system with contrast to VAR and DMD ⋮ A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE ⋮ DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
This page was built for publication: Consistency properties of least squares estimates of autoregressive parameters in ARMA models
