Limit theorems on a linear explosive stochastic model for time series with moving average error |
| |
Authors: | K. N. Venkataraman K. Suresh Chandra |
| |
Affiliation: | (1) University of Madras, Madras, India |
| |
Abstract: | Summary LetX(t) be a linear autoregressively generated explosive time series, with autoregressive coefficientsb 1,…,bq, and a constant termb 0, and an error term ; a0=1. Where ε(t),t≧1 are independent, Eε(t)=0, and Eε 2(t)=σ2 is positive and finite. In this paper two categories of -consisent and asymptotically singularly normal estimators are proposed for (b 1,…,bq, b0) thus settling an open problem since the publication of the paper (Venkataraman [5]). Based on these estimators several additional limit theorems based on estimated error residuals are proved. The parameter-free limit theorems of Spectral and Quenouille types of this paper serve as asymptotic goodness of fit tests for the model generatingX(t). |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|