Estimation of the parameters for unstable AR models

DOI10.1007/BF02011188zbMath0847.62074MaRDI QIDQ1916494

Guibin Lie, Hong-Zhi An

Publication date: 8 October 1996

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

tablesrootssimulation resultsunit circlestrong consistencyunstable autoregressive processestimated polynomials

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Autocorrelation, autoregression and autoregressive approximation
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE

This page was built for publication: Estimation of the parameters for unstable AR models