Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models

time series ARMA models AIC unified approach Yule-Walker equations S-array backshift operator Gaussian white noise process consistent least squares estimates extended sample autocorrelations iterative regression procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

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