A general asymptotic theory for time-series models
نویسندگان
چکیده
منابع مشابه
A General Asymptotic Theory for Time Series Models
This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class of estimators that includes LSE, MLE, and some M-type estimators. As an application, we verify the a...
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ژورنال
عنوان ژورنال: Statistica Neerlandica
سال: 2010
ISSN: 0039-0402,1467-9574
DOI: 10.1111/j.1467-9574.2009.00447.x