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.
Publié le : 1983-09-14
Classification:
ARMA time series,
autoregression,
consistency,
least squares,
nonstationarity,
62M10,
62J05
@article{1176346252,
author = {Tiao, George C. and Tsay, Ruey S.},
title = {Consistency Properties of Least Squares Estimates of Autoregressive Parameters in ARMA Models},
journal = {Ann. Statist.},
volume = {11},
number = {1},
year = {1983},
pages = { 856-871},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346252}
}
Tiao, George C.; Tsay, Ruey S. Consistency Properties of Least Squares Estimates of Autoregressive Parameters in ARMA Models. Ann. Statist., Tome 11 (1983) no. 1, pp. 856-871. http://gdmltest.u-ga.fr/item/1176346252/