Asymptotic properties of dynamic stochastic parameter estimates. III

DOI10.1016/0047-259X(74)90019-0zbMath0308.62095MaRDI QIDQ1218709

Bernt P. Stigum

Publication date: 1974

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Stochastic analysis (60H99)

Related Items

Decomposition of an autoregressive process into first order processes, Large sample estimation in nonstationary autoregressive processes with multiple observations, On limiting distributions in explosive autoregressive processes, Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes, Recursive solution methods for dynamic linear rational expectations models, Least squares and stochastic difference equations, On strong consistency of least squares identification algorithms, On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes, Asymptotic canonical forms and iterated logarithm rate results of least squares estimates for unstable ARMA models, Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters, Explosive strong periodic autoregression with multiplicity one

Cites Work

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• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
• Dynamic Stochastic Processes
• On the Statistical Treatment of Linear Stochastic Difference Equations