Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots

DOI10.1080/03610929308831144zbMath0799.62095OpenAlexW2068819970MaRDI QIDQ4275821

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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

zbMATH Keywords

invariance principleleast squares estimatorautoregressive processexplosive casephi-mixing error sequenceuniformly bounded fourth order moments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

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

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• 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

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