Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)

DOI10.1080/02331889708802567zbMATH Open0899.62016OpenAlexW1966056546MaRDI QIDQ4337774FDOQ4337774

Authors:

Publication date: 15 November 1998

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802567

Recommendations

• Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters
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• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Distribution asymptotique de l'estimateur des moindres carrés. cas des modèles arx(p,s) instables

zbMATH Keywords

ARMAweak convergenceBrownian motionfunctional limit theoremstochastic integralsleast squares estimatorlimit law

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Title not available (Why is that?)
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Limiting distributions of least squares estimates of unstable autoregressive processes
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Time Series Regression with a Unit Root
• Weak limit theorems for stochastic integrals and stochastic differential equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Weak convergence of stochastic integrals related to counting processes

Cited In (8)

• Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2
• Regression quantiles for unstable autoregressive models
• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
• Asymptotic distribution of the estimated parameters of an ARMA(\(p\),\(q\)) process in the presence of explosive roots
• Residual empirical processes for long and short memory time series
• About estimation of ARIMA process with strong mixing MA part
• Distribution asymptotique de l'estimateur des moindres carrés. cas des modèles arx(p,s) instables
• Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters

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