Estimation of the parameters for unstable AR models
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Publication:1916494
DOI10.1007/BF02011188zbMath0847.62074MaRDI QIDQ1916494
Publication date: 8 October 1996
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
tablesrootssimulation resultsunit circlestrong consistencyunstable autoregressive processestimated polynomials
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Autocorrelation, autoregression and autoregressive approximation
- Consistency properties of least squares estimates of autoregressive parameters in ARMA models
- 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
- SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
- DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
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