ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS

DOI10.1111/j.1467-9892.1986.tb00491.xzbMath0609.62124OpenAlexW1978804029MaRDI QIDQ3749989

Pentti Saikkonen

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00491.x

zbMATH Keywords

asymptotic normalitystrong consistencygeneralized least squaresARMA modelautoregressive moving average modelconsistent estimatorspreliminary estimatorsYule-Walker estimateslong autoregressioninfinite AR representationinfinite MA representationlimiting covariance matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (6)

A specification strategy for order determination in arma models ⋮ Moving-average representation of autoregressive approximations ⋮ An efficient method for the estimation of multivariate moving averge models ⋮ Estimating multivariate autoregressive moving average models by fitting long autoregressions ⋮ Using least squares to generate forecasts in regressions with serial correlation ⋮ On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models

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