Asymptotic properties of multivariate nonstationary processes with applications to autoregressions

DOI10.1214/aos/1176347499zbMath0705.62082OpenAlexW2055834111MaRDI QIDQ918100

Ruey S. Tsay, George C. Tiao

Publication date: 1990

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347499

zbMATH Keywords

functional central limit theoremlimiting distributionsnonstationary processesordinary least squaresmultivariate time seriesAsymptotic propertiesconsistency propertiescharacteristic roots on the unit circlenonstationary vector ARMA(p,q) processstochastic integrals of Brownian motionsvector autoregressive moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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