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September, 1991 Estimation of the Parameters of Linear Time Series Models Subject to Nonlinear Restrictions
Neerchal K. Nagaraj, Wayne A. Fuller
Ann. Statist. 19(3): 1143-1154 (September, 1991). DOI: 10.1214/aos/1176348242


Least squares estimators of the parameters of a linear time series model, where the parameters are constrained by a set of nonlinear restrictions, are studied. The model may contain lags of the dependent variable as regressors and the sums of squares of the explanatory variables may grow at different rates as the sample size increases. The estimation procedures can be applied to a regression model with an error process that satisfies either a stationary or a nonstationary autoregression.


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Neerchal K. Nagaraj. Wayne A. Fuller. "Estimation of the Parameters of Linear Time Series Models Subject to Nonlinear Restrictions." Ann. Statist. 19 (3) 1143 - 1154, September, 1991.


Published: September, 1991
First available in Project Euclid: 12 April 2007

zbMATH: 0729.62087
MathSciNet: MR1126318
Digital Object Identifier: 10.1214/aos/1176348242

Primary: 62M10
Secondary: 62F12 , 62J02

Keywords: least squares , nonlinear estimation , nonstationary , time series

Rights: Copyright © 1991 Institute of Mathematical Statistics


Vol.19 • No. 3 • September, 1991
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