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

DOI10.1214/AOS/1176348243MaRDI QIDQ806874zbMATH OpenOpenAlexFDO

Authors 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 seriesleast squaresconvergence of momentsuniform integrabilitystationary autoregressive process

Mathematics Subject Classification ID

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

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• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
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