On consistency in time series analysis

DOI10.1214/aos/1176344080zbMath0374.60041OpenAlexW2055585248MaRDI QIDQ1244933

Peter M. Robinson

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1214/aos/1176344080

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

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Measuring deviations from stationarity ⋮ Heteroskedastic cointegration ⋮ Estimation of a time series model from unequally spaced data ⋮ The estimation of a multivariate linear relation ⋮ EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION