On consistency in time series analysis
Robinson, P.
(1978).
On consistency in time series analysis.
Annals of Statistics,
6(1), 215-223.
https://doi.org/10.1214/aos/1176344080
A number of statistics that arise in time series analysis can be represented as the sum of a partial realization of a possibly serially dependent and nonstationary discrete-parameter stochastic process. The almost sure and $L_p, p > 1$, convergence of such statistics is investigated, under various moment conditions. The results are applied to the least squares estimates of multiple regressions.
| Item Type | Article |
|---|---|
| Departments | LSE |
| DOI | 10.1214/aos/1176344080 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1402 |
Explore Further
- http://www.lse.ac.uk/economics/people/faculty/peter-robinson.aspx (Author)
- http://imstat.org/ (Official URL)