The Annals of Statistics
- Ann. Statist.
- Volume 6, Number 1 (1978), 215-223.
On Consistency in Time Series Analysis
A number of statistics that arise in time series analysis can be represented as the sum of a partial realization of a possibly serially dependent and nonstationary discrete-parameter stochastic process. The almost sure and $L_p, p > 1$, convergence of such statistics is investigated, under various moment conditions. The results are applied to the least squares estimates of multiple regressions.
Ann. Statist., Volume 6, Number 1 (1978), 215-223.
First available in Project Euclid: 12 April 2007
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60F15: Strong theorems
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 60G45
Robinson, P. M. On Consistency in Time Series Analysis. Ann. Statist. 6 (1978), no. 1, 215--223. doi:10.1214/aos/1176344080. https://projecteuclid.org/euclid.aos/1176344080