Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component

DOI10.1080/03610928808829813zbMath0696.62145OpenAlexW1999936217MaRDI QIDQ3473131

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Publication date: 1988

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829813

zbMATH Keywords

asymptotic normalityautoregressivestrong consistencymartingale difference sequencepartially explosivepurely explosive

Mathematics Subject Classification ID

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

Related Items (4)

Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots ⋮ Least squares estimation of the coefficients of a partially explosive model, with polynomial regressions of same degree, generating a pair of related time series ⋮ Estimating functions for branching processes ⋮ Inference for a simultaneous linear partially explosive model with polynomial regression components of different degrees

Cites Work

• Limit theorems on a linear explosive stochastic model for time series with moving average error
• Estimation of the parameters of stochastic difference equations
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
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