Premium
ESTIMATION OF THE NON‐STATIONARY FACTOR IN ARUMA MODELS
Author(s) -
Huang D.,
Anh V. V.
Publication year - 1993
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.1467-9892.1993.tb00128.x
Subject(s) - mathematics , estimator , estimation , statistics , factor (programming language) , unit circle , mathematical analysis , computer science , management , economics , programming language
. Two methods for the estimation of the non‐stationary factor in ARUMA models are given. Both methods yield strongly consistent estimators and the roots of the corresponding filters lie on the unit circle.