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On consistency in time series analysis

By Peter Robinson

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

Publisher: Institute of Mathematical Statistics
Year: 1978
DOI identifier: 10.1214/aos
OAI identifier: oai:eprints.lse.ac.uk:1402
Provided by: LSE Research Online
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