Estimation of parameters in ARUMA models

DOI10.1007/BF02006754zbMath0704.62082MaRDI QIDQ917202

Guibing Li

Publication date: 1990

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

rootstime seriespolynomialsunit circleweak consistencymartingale differenceARUMA (p,d,q) processback-shift operator

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Order selection in nonstationary autoregressive models
• Autocorrelation, autoregression and autoregressive approximation
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Estimation of the degree of differencing of an ARIMA process
• Asymptotic properties of projections with applications to stochastic regression problems
• Recursive method for ARMA model estimation. I
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Use of canonical analysis in time series model identification
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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