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.
Citation
Hironao Kawashima. "Parameter Estimation of Autoregressive Integrated Processes by Least Squares." Ann. Statist. 8 (2) 423 - 435, March, 1980. https://doi.org/10.1214/aos/1176344962
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