Robinson, Peter (1978) On consistency in time series analysis. Annals of Statistics, 6 (1). pp. 215-223. ISSN 0090-5364
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Identification Number: 10.1214/aos/1176344080
Abstract
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 |
|---|---|
| Official URL: | http://imstat.org/ |
| Divisions: | LSE |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 13:53 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1402 |
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