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

zbMATH Open0557.62078MaRDI QIDQ761750FDOQ761750

Authors: K. N. Venkataraman, K. Suresh Chandra 

Publication date: 1984

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

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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)

Cites Work

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