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

MaRDI QIDQ761750zbMATH OpenFDO

Authors 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

asymptotic normalityconsistencyprocessasymptotic tests of fitestimators of autoregressive parametersexplosive time seriesmoving average errornonstationary ARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 3495497 (Why is no real title available?)
• scientific article; zbMATH DE number 3340899 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3424896 (Why is no real title available?)
• scientific article; zbMATH DE number 3058308 (Why is no real title available?)
• scientific article; zbMATH DE number 3058309 (Why is no real title available?)
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
• Limit Theorems on Certain Nonstationary Linear Stochastic Models and Their Statistical Applications
• Some limit theorems on an explosive model for time series, and their statistical applications

Cited in

(6)

• Estimating functions for branching processes
• Inference for a simultaneous linear partially explosive model with polynomial regression components of different degrees
• Weak convergence of the residual empirical process in explosive autoregression
• Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component
• On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series
• Inference on superimposed subcritical Galton-Watson processes with immigration

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