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

DOI10.1177/0008068319910103MaRDI QIDQ4032351zbMATH OpenOpenAlexFDO

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

ARMA \((p,q)\) processautoregressive parametersfinite fourth order momentindependently and identically distributed continuous error variablesinstrumental variables estimatorleast squares estimation procedureslimiting distributionsmoving-average innovationsstable case

Mathematics Subject Classification ID

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

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• Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible \(\mathrm{ARMA}(p,q)\) model
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• Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
• A study on the effect of power transformation in the ARMA(p,q) model
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• About estimation of ARIMA process with strong mixing MA part
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