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Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters

Author

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  • Lai, T. L.
  • Wei, C. Z.

Abstract

This paper establishes several almost sure asymptotic properties of general autoregressive processes. By making use of these properties, we obtain a proof of the strong consistency of the least-squares estimates of the parameters of the process without any assumption on the roots of the characteristic polynomial.

Suggested Citation

  • Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 1-23, March.
    • Handle: RePEc:eee:jmvana:v:13:y:1983:i:1:p:1-23
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