Asymptotic distribution of the estimated parameters of an ARMA(p,q) process in the presence of explosive roots

DOI10.4064/AM39-3-1zbMATH Open1273.62220OpenAlexW2325049364MaRDI QIDQ2913194FDOQ2913194

Authors: Sugata Sen Roy, Sankha Bhattacharya 

Publication date: 26 September 2012

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am39-3-1

Recommendations

• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• scientific article; zbMATH DE number 3994830
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case
• Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)

zbMATH Keywords

asymptotic distributionARMA processexplosive roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (10)

• Title not available (Why is that?)
• The large sample distribution of the roots of the second order autoregressive polynomial
• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Limit theorems on a linear explosive stochastic model for time series with moving average error
• Asymptotic distributions of some robust scale estimators in explosive AR(1) model
• On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series
• Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case

This page was built for publication: Asymptotic distribution of the estimated parameters of an ARMA(\(p\),\(q\)) process in the presence of explosive roots

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2913194)