On the calculation of cumulants of estimators arising from a linear time series regression model

DOI10.1016/0047-259X(91)90077-FzbMath0738.62087MaRDI QIDQ1176224

Hong-Ching Zhang, Paul Shaman

Publication date: 25 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitydiscrete Fourier transformasymptotic momentsbounds for higher-order cumulantslinear time series regression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Statistical inference using higher-order information

Cites Work

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• Strong consistency of least squares estimates in dynamic models
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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