Limit theorems on a linear explosive stochastic model for time series with moving average error

zbMath0557.62078MaRDI QIDQ761750

K. N. Venkataraman, K. Suresh Chandra

Publication date: 1984

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

consistency; asymptotic normality; process; asymptotic tests of fit; estimators of autoregressive parameters; explosive time series; moving average error; nonstationary ARMA

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

Related Items

Inference on superimposed subcritical Galton-Watson processes with immigration, Estimating functions for branching processes, Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component, Inference for a simultaneous linear partially explosive model with polynomial regression components of different degrees

Cites Work

• Some limit theorems on an explosive model for time series, and their statistical applications
• Limit Theorems on Certain Nonstationary Linear Stochastic Models and Their Statistical Applications
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
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