Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model

DOI10.1111/j.1467-9892.2012.00817.xzbMath1274.62617OpenAlexW2149027151MaRDI QIDQ2852485

Sankha Bhattacharya, Sugata Sen Roy

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00817.x

zbMATH Keywords

asymptotic distributionARMA modelBerry-Esseen type bounds

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (1)

Individual-specific, sparse inverse covariance estimation in generalized estimating equations

Cites Work

• Unnamed Item
• Edgeworth correction by bootstrap in autoregressions
• Time series: theory and methods.
• The estimation of ARMA models
• On adaptive estimation in stationary ARMA processes
• On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
• On asymptotic properties of estimators stationary gaussian random sequences
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case
• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• The asymptotic theory of linear time-series models

This page was built for publication: Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model