On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models

DOI10.1080/02331888.2020.1830095zbMath1468.62335OpenAlexW3091867264MaRDI QIDQ4999850

Pierre Lafaye de Micheaux, Joseph François Tagne Tatsinkou, Pierre Duchesne

Publication date: 2 July 2021

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2020.1830095

zbMATH Keywords

asymptotic normalitytime seriesstrong consistencyone-step Gauss-Newton estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• astsa
• itsmr

Cites Work

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