A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION

DOI10.1111/j.1467-9892.1995.tb00251.xzbMath0834.62077OpenAlexW1984402488MaRDI QIDQ4854216

Thorsten Grahn

Publication date: 14 November 1995

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

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/21354/1/beitrag.06.pdf

zbMATH Keywords

law of the iterated logarithmconditional momentscentral limit theoremconditional least squaresYule-Walker equationsbilinear time series modelsGaussian limiting distributionlinear autoregressive moving-average modelsuperdiagonal bilinear model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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