About estimation of ARIMA process with strong mixing MA part

DOI10.1080/0233188031000065415zbMath1020.62087OpenAlexW1988660519MaRDI QIDQ4806335

Jean-Pierre Fabre, Irène Larramendy

Publication date: 23 September 2003

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0233188031000065415

zbMATH Keywords

mixingfunctional limit theoremleast squares estimatorsARIMA process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Cites Work

• Rate of convergence in the central limit theorem for random variables with strong mixing
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
• Convergence of Distributions Generated by Stationary Stochastic Processes

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