Asymptotic properties of dynamic stochastic parameter estimates

DOI10.1007/BF02504730zbMath0364.62086MaRDI QIDQ1241000

Bernt P. Stigum

Publication date: 1976

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Asymptotic properties of autoregressive integrated moving average processes

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