Asymptotic laws of successive least squares estimates for seasonal arima models and application

DOI10.1111/1467-9892.00287zbMath1117.62098OpenAlexW3125979965MaRDI QIDQ3440774

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Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00287

zbMATH Keywords

least squares estimateseasonal ARIMA modelsuccessive autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Some tests for unit roots in seasonal time series with deterministic trends
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

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