Consistency of the least squares estimator of the first order moving average parameter

DOI10.1214/AOS/1176346083zbMath0509.62082OpenAlexW1983549469MaRDI QIDQ1838259

Wayne A. Fuller, Brian D. MacPherson

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1214/aos/1176346083

zbMATH Keywords

consistencyleast squares estimatorfirst order moving average time seriesnoninvertible case

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (2)

RECOGNIZING OVERDIFFERENCED TIME SERIES ⋮ ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES

This page was built for publication: Consistency of the least squares estimator of the first order moving average parameter