Convergence theorems on the least square estimators of the structural parameters of a linear explosive model

DOI10.1007/BF02479804zbMath0337.62069OpenAlexW2134665161MaRDI QIDQ1230490

K. N. Venkataraman

Publication date: 1974

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02479804

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Stochastic analysis (60H99) Limit theorems in probability theory (60Fxx)

Related Items (2)

On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series ⋮ Least squares estimation of the coefficients of a partially explosive model, with polynomial regressions of same degree, generating a pair of related time series

Cites Work

• 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
• A Note on the Least Square Estimators of the Parameters of a Second Order Linear Stochastic Difference Equation
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