Abstract
In this paper time series identification problem amounts to estimating the unknown parameters of an ARMA model, which is transformed to an infinite AR model and the least-squares method is proposed for its identification. The convergence analysis of the LS estimates almost surely is carried out for an infinite case. Moreover, it is established the result on the estimate of the degree of convergence of the LS estimates for infinite AR model. Such an approach has been studied before for the “long” AR models but an overall convergence analysis has been lacking. In addition, a complimentary result on the convergence of semi-martingales is presented here, which is a corner-stone for proof of all theorems here, but is of interest by itself.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
