Parameter estimation of autoregressive integrated processes by least squares

DOI10.1214/AOS/1176344962zbMath0437.62084OpenAlexW2044085223MaRDI QIDQ1141443

Hironao Kawashima

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1214/aos/1176344962

zbMATH Keywords

consistencyspectral representationergodicHardy classleast squares estimatesbest asymptotically normalautoregressive integrated moving average processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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