Large sample properties of parameter least squares estimates for time-varying ARMA models

Journal of Time Series Analysis

Volumn 25, Issue 5, 2004, Pages 765-783

  Francq, Christian ^a   Gautier, Antony ^a  

^a UNIV LILLE   (France)

Author keywords

Asymptotic normality; Consistency; Non stationary processes; Quasi generalized least squares estimator; Time varying models

Indexed keywords

EID: 3943108820     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2004.02003.x     Document Type: Article

References (16)

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