Estimation of parameters in the ARMA model when the characteristic polynomial of the MA operator has a unit zero

DOI10.1214/AOS/1176344382zbMath0402.62023OpenAlexW2072142086MaRDI QIDQ1255737

Tuan Pham-Dinh

Publication date: 1978

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176344382

zbMATH Keywords

EfficientAsymptotic ApproximationEstimation of ParametersCharacteristic PolynomialArma ModelAsymptotically NormalExact Log Likelihood

Mathematics Subject Classification ID

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

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Convergence results for maximum likelihood type estimators in multivariable ARMA models

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