Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations

DOI10.1214/14-BJPS237zbMath1326.62183OpenAlexW1502547078MaRDI QIDQ2517098

Sankha Bhattacharya, Sugata Sen Roy

Publication date: 14 August 2015

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1433983069

zbMATH Keywords

asymptotic distributionARMA processexplosive roots\(\phi\)-mixing errors

Mathematics Subject Classification ID

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

Cites Work

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• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• On the Statistical Treatment of Linear Stochastic Difference Equations

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