THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1

DOI10.1111/J.1467-842X.1983.TB00382.XMaRDI QIDQ3223757zbMATH OpenFDO

Authors E. J. Hannan, Laimonis Kavalieris

Publication date 1983

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.1983.TB00382.X

zbMATH Keywords

AICalmost sure convergenceBICconvergence of sample autocorrelationsinnovationsmartingale differencesrational spectrumscalar processessecond-order purely linear nondeterministic processesvector-valued processes

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(18)

• Linear estimation of ARMA processes
• The asymptotic properties of the multichannel autoregressive spectral estimates
• Convergence of the clipped sample autocorrelation and autocovariance
• Quenouille-type theorem on autocorrelations
• Recursive method for ARMA model estimation. I
• A fast estimation method for ARMA processes
• Autocorrelation and the sum of stochastic variables
• Uniform convergence of autocovariances
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• On the mean square convergence of the convolution representation of linear filters
• REGRESSION, AUTOREGRESSION MODELS
• scientific article; zbMATH DE number 3947469 (Why is no real title available?)
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• scientific article; zbMATH DE number 4080687 (Why is no real title available?)
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• Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
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