Parameter Estimation of Autoregressive Integrated Processes by Least Squares
The Annals of Statistics · 1980 · Volume 8 · Issue 2
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.
Keywords
62M10, 62N15, Autoregressive integrated moving average processes, best asymptotically normal, consistency, Ergodic, Hardy class, least squares estimates, spectral representation
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