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STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING‐AVERAGE MODEL
Author(s) -
Dunsmuir William T. M.,
Spencer Nancy M.
Publication year - 1991
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1991.tb00071.x
Subject(s) - mathematics , autoregressive model , asymptotic distribution , consistency (knowledge bases) , strong consistency , normality , statistics , econometrics , star model , local asymptotic normality , autoregressive–moving average model , autoregressive integrated moving average , estimator , time series , discrete mathematics
. The strong consistency and central limit theorem for least absolute deviation estimates of the parameters in a scalar autoregressive‐moving average model are established under general conditions on the innovations.