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.XMaRDI QIDQ2852485zbMATH OpenOpenAlexFDO

Authors Sugata Sen Roy, Sankha Bhattacharya

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)

Recommendations

• Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
• On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case
• scientific article; zbMATH DE number 4032860

Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• Edgeworth correction by bootstrap in autoregressions
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case
• On adaptive estimation in stationary ARMA processes
• On asymptotic properties of estimators stationary gaussian random sequences
• On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
• The asymptotic theory of linear time-series models
• The estimation of ARMA models
• Time series: theory and methods.

Cited in

(4)

• Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
• On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
• Rate of convergence for a class of RCA estimators
• Individual-specific, sparse inverse covariance estimation in generalized estimating equations

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2852485)