Journal of Time Series Analysis · 1991 · 13 citations · 4 references
Natural SciencesEconomicsEconometricsStochastic ProcessesTime Series AnalysisEstimation TheoryLimit TheoremsAutoregressive Moving Average ModelsCentral Limit TheoremsConsistencyMartingale Central Limit TheoremMoving Average ModelsStrong Consistency
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.
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