Two limit theorems on ARIMA models

DOI10.1007/BF02006064zbMath0669.60040MaRDI QIDQ1118905

Hongye Gao, Hong-Zhi An

Publication date: 1988

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

convergencetime seriesmartingalespectral densitybackward operator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Large deviations (60F10)

Related Items (1)

Identification and hypothesis testing on ARIMA (p,d,q) models

Cites Work

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• Adaptive design and stochastic approximation
• A law of the iterated logarithm for double arrays of independent random variables with applications to regression and time series models
• Asymptotic properties of projections with applications to stochastic regression problems
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for Unit Roots in Seasonal Time Series
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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