Fitting time series models to nonstationary processes

DOI10.1214/aos/1034276620zbMath0871.62080OpenAlexW1990139510MaRDI QIDQ1355167

Publication date: 6 October 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1034276620

zbMATH Keywords

model selection time series stationarity nonstationary processes ARMA models misspecification evolutionary spectra least squares estimate general minimum distance estimation procedure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

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