On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case

DOI10.1177/0008068319910103MaRDI QIDQ4032351zbMATHOpenAlexFDO

Authors

Publication date 1 April 1993

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319910103

zbMATH Keywords

limiting distributionsautoregressive parametersinstrumental variables estimatorstable caseARMA \((p,q)\) processfinite fourth order momentindependently and identically distributed continuous error variablesleast squares estimation proceduresmoving-average innovations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(16)

• scientific article; zbMATH DE number 2148022 (Why is no real title available?)
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• LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
• Asymptotic distribution of the estimated parameters of an ARMA(\(p\),\(q\)) process in the presence of explosive roots
• Biquadratic functions: stationary and invertibility in estimated time-series models
• scientific article; zbMATH DE number 1202636 (Why is no real title available?)
• Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters
• Estimation of weak ARMA models with regime changes
• About estimation of ARIMA process with strong mixing MA part
• Parameter estimation for ARMA models with infinite variance innovations
• Strongly harmonizable ARMA S\(\alpha\)S models
• scientific article; zbMATH DE number 3909577 (Why is no real title available?)
• scientific article; zbMATH DE number 3901860 (Why is no real title available?)
• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations

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