REGRESSION, AUTOREGRESSION MODELS

DOI10.1111/j.1467-9892.1986.tb00484.xzbMath0588.62163OpenAlexW2056253595MaRDI QIDQ3716147

E. J. Hannan, Laimonis Kavalieris

Publication date: 1986

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00484.x

zbMATH Keywords

least-squares methodlaw of the iterated logarithmapproximationsmartingaleAICBICorder estimatesalmost sure convergence ratesARMAXresidual sequenceinnovation sequenceleast squares fitted regression autoregression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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