A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model

DOI10.1111/jtsa.12080zbMath1311.62140OpenAlexW1929383332MaRDI QIDQ5176862

Stelios Arvanitis

Publication date: 4 March 2015

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

Full work available at URL: https://doi.org/10.1111/jtsa.12080

zbMATH Keywords

indirect estimatorindirect identificationnon-regularitymultiplicative structuresequence of local alternativesMA(1) processbinding functionCLT to stochastic integralsdiscontinuous weak limitsmartingale difference CLTrate of convergence dependent on the parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)

Cites Work

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