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

DOI10.1080/02331889708802567MaRDI QIDQ4337774zbMATHOpenAlexFDO

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

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)

Recommendations

• Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case
• 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

Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Limiting distributions of least squares estimates of unstable autoregressive processes
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Time Series Regression with a Unit Root
• Weak convergence of stochastic integrals related to counting processes
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(8)

• Residual empirical processes for long and short memory time series
• Asymptotic distribution of the estimated parameters of an ARMA(\(p\),\(q\)) process in the presence of explosive roots
• Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters
• 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
• Regression quantiles for unstable autoregressive models
• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
• Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

This page was built for publication: Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4337774)