Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
From MaRDI portal
Publication:4275821
DOI10.1080/03610929308831144zbMath0799.62095MaRDI QIDQ4275821
No author found.
Publication date: 20 November 1994
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929308831144
invariance principle; least squares estimator; autoregressive process; explosive case; phi-mixing error sequence; uniformly bounded fourth order moments
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
Related Items
Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations, Asymptotics of regressions with stationary and nonstationary residuals.
Cites Work
- Unnamed Item
- Unnamed Item
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- Limiting distributions of least squares estimates of unstable autoregressive processes
- On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
- Estimation of the parameters of stochastic difference equations
- Asymptotic distribution of an estimator of the boundary parameter of an unstable process
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
- Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component
- Towards a unified asymptotic theory for autoregression
- On the Statistical Treatment of Linear Stochastic Difference Equations
