文章基本信息

标题：Asymptotic distribution of the estimated parameters of an $\operatorname{ARMA}(p,q)$ process with mixing innovations
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作者：Sankha Bhattacharya ; Sugata Sen Roy
期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2015
卷号：29
期号：3
页码：640-655
DOI：10.1214/14-BJPS237
语种：English
出版社：Brazilian Statistical Association
摘要：In this paper, we consider an $\operatorname{ARMA}(p,q)$ model with stationary, $\phi$-mixing error variables having uniformly bounded fourth-order moments. Both the autoregressive and moving average components of the model involve stable and explosive roots. Estimating the autoregressive parameters using the instrumental variable technique and the moving average parameters using a derived autoregressive process, we derive the asymptotic distribution of the estimators.