scientific article; zbMATH DE number 897115

Publication date 7 July 1996

parameter estimation time series ARMA processes multivariate models periodogram martingale differences central limit theorems nonstationary time series large sample theory state space representations empirical model identification new tests for unit roots nonliner estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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