Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order

DOI10.1214/aos/1176348243zbMath0729.62082OpenAlexW1993102515MaRDI QIDQ806874

R. J. Bhansali, F. Papangelou

Publication date: 1991

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348243

zbMATH Keywords

predictiontime seriesuniform integrabilityleast squaresconvergence of momentsstationary autoregressive process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10)

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