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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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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/
Sets: Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/1402/

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