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ESTIMATION OF THE NON‐STATIONARY FACTOR IN ARUMA MODELS

 

作者: D. Huang,   V. V. Anh,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1993）
卷期: Volume 14, issue 1  

页码: 27-46

 

ISSN:0143-9782

 

年代: 1993

 

DOI:10.1111/j.1467-9892.1993.tb00128.x

 

出版商: Blackwell Publishing Ltd

 

关键词: ARUMA models;strong consistency;eigenvector estimator;least squares estimation;recursive estimation

 

数据来源: WILEY

 

摘要:

Abstract.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 circl

 

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