Convergence of least squares parameter estimates of weakly stationary time series models driven by uncorrelated processes

DOI10.1080/00207727708942020zbMath0357.62074OpenAlexW2031898418MaRDI QIDQ4130256

Daniel Graupe, Eli Fogel

Publication date: 1977

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207727708942020

Mathematics Subject Classification ID

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

Related Items (3)

Reply to ‘ Comment on “ Convergence of least squares identification algorithms applied to unstable stochastic processes ” ‘ ⋮ Mean-square convergence of least-squares identification of white-noise-driven time-series models ⋮ Estimating the parameters of autoregression processes by the method of least squares

Cites Work

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• An Approach to Time Series Analysis
• On the Statistical Treatment of Linear Stochastic Difference Equations

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