STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING‐AVERAGE MODEL

William T. M. Dunsmuir and Nancy M. Spencer

Journal of Time Series Analysis, 1991, vol. 12, issue 2, 95-104

Abstract: Abstract. The strong consistency and central limit theorem for least absolute deviation estimates of the parameters in a scalar autoregressive‐moving average model are established under general conditions on the innovations.

Date: 1991
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