D
Dag Tjøstheim
Researcher at University of North Carolina at Chapel Hill
Publications - 3
Citations - 306
Dag Tjøstheim is an academic researcher from University of North Carolina at Chapel Hill. The author has contributed to research in topics: Autoregressive model & Partial autocorrelation function. The author has an hindex of 3, co-authored 3 publications receiving 297 citations. Previous affiliations of Dag Tjøstheim include University of Bergen.
Papers
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Journal ArticleDOI
Estimation in nonlinear time series models
Dag Tjøstheim,Dag Tjøstheim +1 more
TL;DR: In this paper, a general framework for analyzing estimates in nonlinear time series is developed and conditions for strong consistency and asymptotic normality are derived both for conditional least squares and maximum likelihood types estimates.
Journal ArticleDOI
Some doubly stochastic time series models
TL;DR: In this article, the authors consider time series models obtained by replacing the parameters of autoregressive models by stochastic processes, and special attention is given to finding conditions for stationarity and to the problem of forecasting.
Journal ArticleDOI
Least squares estimates and order determination procedures for autoregressive processes with a time dependent variance
Dag Tjøstheim,Jostein Paulsen +1 more
TL;DR: In this article, the variance of the generating white noise process is allowed to depend on time, and it is shown that ordinary least squares estimates are strongly consistent and with a proper scaling factor asymptotically normal.