Parameter Estimation of Autoregressive Integrated Processes by Least Squares
Hironao Kawashima
Source: Ann. Statist. Volume 8, Number 2
(1980), 423-435.
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.
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Keywords: Autoregressive integrated moving average processes; least squares estimates; ergodic; spectral representation; Hardy class; consistency; best asymptotically normal
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1176344962
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aos/1176344962
Mathematical Reviews number (MathSciNet): MR560738
Zentralblatt MATH identifier: 0437.62084
