A note on nonlinear regression for the autoregressive moving average with non-hd errors

DOI10.1080/03610928308831161zbMath0798.62092OpenAlexW2096442806MaRDI QIDQ4275860

Dong Wan Shin, Sahadeb Sarkar

Publication date: 8 November 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928308831161

zbMATH Keywords

consistencyasymptotic normalityautoregressive moving averagemartingale difference sequencemixing sequencenonlinear least squares estimatorlarge sample propertiesnon iid errorsstationary and invertible ARMA \((p,q)\) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (1)

MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE

Cites Work

• Unnamed Item
• A maximal inequality and dependent strong laws
• The strong consistency of maximum likelihood estimators for ARMA processes
• Vector linear time series models
• Vector linear time series models: corrections and extensions
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Martingale Central Limit Theorems
• The asymptotic theory of linear time-series models
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series

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