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

DOI10.4064/AM39-3-1MaRDI QIDQ2913194zbMATH OpenOpenAlexFDO

Authors Sugata Sen Roy, Sankha Bhattacharya

Publication date 26 September 2012

Published in Applicationes Mathematicae (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cited in

(10)

• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• 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
• scientific article; zbMATH DE number 1202636 (Why is no real title available?)
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
• The large sample distribution of the roots of the second order autoregressive polynomial
• On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series
• On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case
• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations

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