Consistency Properties of Least Squares Estimates of Autoregressive Parameters in ARMA Models
Open Access
- 1 September 1983
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 11 (3) , 856-871
- https://doi.org/10.1214/aos/1176346252
Abstract
A unified treatment of the consistency properties of the ordinary least squares estimates in an autoregressive fitting of time series from nonstationary or stationary autoregressive moving average models is given. For a given model, the orders of autoregressions which produce consistent estimates are obtained and the limiting values, hence the biases, of the estimates of other autoregressions are investigated.Keywords
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