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On consistency in time series analysis

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


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
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Divisions: LSE
Date Deposited: 27 Apr 2007
Last Modified: 30 Sep 2021 23:06

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