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

DOI10.1177/0008068319910103zbMATH Open0760.62085OpenAlexW2734591450MaRDI QIDQ4032351FDOQ4032351

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

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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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• Estimation of weak ARMA models with regime changes
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• Strongly harmonizable ARMA S\(\alpha\)S models
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• Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
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• Asymptotic distribution of the estimated parameters of an ARMA(\(p\),\(q\)) process in the presence of explosive roots
• LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
• About estimation of ARIMA process with strong mixing MA part
• Title not available (Why is that?)
• Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters
• Biquadratic functions: stationary and invertibility in estimated time-series models
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