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

DOI10.1177/0008068319910103zbMath0760.62085OpenAlexW2734591450MaRDI QIDQ4032351

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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

instrumental variables estimatorlimiting distributionsautoregressive parametersstable caseARMA \((p,q)\) processfinite fourth order momentindependently and identically distributed continuous error variablesleast squares estimation proceduresmoving-average innovations

Mathematics Subject Classification ID

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

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Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model

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