Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles

DOI10.1016/S0764-4442(97)82998-9zbMath0905.62087OpenAlexW2060814927MaRDI QIDQ4219587

Jean-Michel Zakoian, Christian Francq

Publication date: 9 February 1999

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(97)82998-9

zbMATH Keywords

nonlinear processesweak consistencyleast squares estimatorARMA modelsasymptotic covariance matrix

Mathematics Subject Classification ID

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

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