Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)

DOI10.1080/02331889708802567zbMath0899.62016OpenAlexW1966056546MaRDI QIDQ4337774

No author found.

Publication date: 15 November 1998

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802567

zbMATH Keywords

weak convergenceBrownian motionfunctional limit theoremleast squares estimatorstochastic integralsARMAlimit law

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (3)

Regression quantiles for unstable autoregressive models ⋮ About estimation of ARIMA process with strong mixing MA part ⋮ Residual empirical processes for long and short memory time series

Cites Work

• Unnamed Item
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Weak limit theorems for stochastic integrals and stochastic differential equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Weak convergence of stochastic integrals related to counting processes
• Time Series Regression with a Unit Root
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach

This page was built for publication: Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)