Abstract
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.
Citation
P. M. Robinson. "On Consistency in Time Series Analysis." Ann. Statist. 6 (1) 215 - 223, January, 1978. https://doi.org/10.1214/aos/1176344080
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