Asymptotic canonical forms and iterated logarithm rate results of least squares estimates for unstable ARMA models

DOI10.1007/BF02011891zbMATH Open0920.62111MaRDI QIDQ1286665FDOQ1286665

Hu-Ming Zhang

Publication date: 21 September 1999

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

design matricesleast-squares estimatesasymptotic canonical formsiterated logarithm rates of almost sure convergenceunstable ARMA process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Asymptotic properties of dynamic stochastic parameter estimates. III
• The Order of Differencing in ARIMA Models
• Consistency of the least-squares identification method
• Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method
• On strong consistency of least squares identification algorithms
• A log log law for unstable ARMA models with applications to time series analysis

Cited In (2)

• On the \(k\)-error linear complexities of De Bruijn sequences
• A log log law for unstable ARMA models with applications to time series analysis

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