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

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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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

Information

Published: March, 1980
First available in Project Euclid: 12 April 2007

zbMATH: 0437.62084
MathSciNet: MR560738
Digital Object Identifier: 10.1214/aos/1176344962

Subjects:
Primary: 62M10
Secondary: 62N15

Rights: Copyright © 1980 Institute of Mathematical Statistics

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Vol.8 • No. 2 • March, 1980
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