Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters

DOI10.1007/BF02009747zbMath0682.62065MaRDI QIDQ1824332

Hong-Zhi An

Publication date: 1989

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

zbMATH Keywords

time seriesAsymptotic behaviorstationary ARMA processunstable ARMA processall roots on the unit circlerates of convergence of least squares estimatesrates of divergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Limit theorems in probability theory (60F99)

Related Items (1)

A log log law for unstable ARMA models with applications to time series analysis

Cites Work

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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Adaptive design and stochastic approximation
• A law of the iterated logarithm for double arrays of independent random variables with applications to regression and time series models
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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