Asymptotic distribution of the estimated parameters of an ARMA(p, q) process in the presence of explosive roots

DOI10.4064/AM39-3-1zbMath1273.62220OpenAlexW2325049364MaRDI QIDQ2913194

Sankha Bhattacharya, Sugata Sen Roy

Publication date: 26 September 2012

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am39-3-1

zbMATH Keywords

asymptotic distributionARMA processexplosive roots

Mathematics Subject Classification ID

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

Related Items (1)

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

This page was built for publication: Asymptotic distribution of the estimated parameters of an ARMA(p, q) process in the presence of explosive roots