CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1

DOI10.1111/j.1467-842X.1977.tb01090.xzbMath0417.62069OpenAlexW1983899147MaRDI QIDQ3207955

Ritei Shibata

Publication date: 1977

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1977.tb01090.x

zbMATH Keywords

asymptotic propertiesconvergence of least squares estimates of autoregressive parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

AN EXAMINATION OF ESTIMATED RESIDUALS IN A REGRESSION WITH AN INFINITE ORDER PARAMETRIC MODEL ⋮ THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN ⋮ Model averaging prediction for time series models with a diverging number of parameters ⋮ Prediction of multivariate time series by autoregressive model fitting

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