CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1

DOI10.1111/J.1467-842X.1977.TB01090.XzbMATH Open0417.62069OpenAlexW1983899147MaRDI QIDQ3207955FDOQ3207955

Authors: 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)

Cited In (4)

• Prediction of multivariate time series by autoregressive model fitting
• 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

This page was built for publication: CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3207955)