THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1

DOI10.1111/j.1467-842X.1983.tb00382.xzbMath0558.62081MaRDI QIDQ3223757

E. J. Hannan, Laimonis Kavalieris

Publication date: 1983

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

zbMATH Keywords

innovationsmartingale differencesalmost sure convergenceAICBICrational spectrumconvergence of sample autocorrelationsscalar processessecond-order purely linear nondeterministic processesvector-valued processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12)

Related Items (9)

REGRESSION, AUTOREGRESSION MODELS ⋮ PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS ⋮ A fast estimation method for ARMA processes ⋮ Estimating multivariate autoregressive moving average models by fitting long autoregressions ⋮ ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS ⋮ The asymptotic properties of the multichannel autoregressive spectral estimates ⋮ Recursive method for ARMA model estimation. I ⋮ Linear estimation of ARMA processes ⋮ Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

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