Parameter Estimation of Autoregressive Integrated Processes by Least Squares
Open Access
- 1 March 1980
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 8 (2) , 423-435
- https://doi.org/10.1214/aos/1176344962
Abstract
This paper deals with the asymptotic properties of so-called autoregressive integrated moving average processes. Moreover, it is shown that least squares estimates of the parameters of a Gaussian autoregressive integrated process are consistent and also best asymptotically normal.Keywords
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