Asymptotic distribution of the estimated parameters of an ARMA(p,q) process in the presence of explosive roots

• Autorzy: Sugata Sen Roy , Sankha Bhattacharya
• Języki publikacji: EN

Abstrakty

EN

We consider an autoregressive moving average process of order (p,q)(ARMA(p,q)) with stationary, white noise error variables having uniformly bounded fourth order moments. The characteristic polynomials of both the autoregressive and moving average components involve stable and explosive roots. The autoregressive parameters are estimated by using the instrumental variable technique while the moving average parameters are estimated through a derived autoregressive process using the same sample. The asymptotic distribution of the estimators is then derived.

Kategorie tematyczne

• 62M10: Time series, auto-correlation, regression, etc.
• 62E20: Asymptotic distribution theory

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2012
• Tom: 39
• Numer: 3
• Strony: 257-272

Daty

wydano

2012

Twórcy

autor

Sugata Sen Roy

• Department of Statistics, University of Calcutta, 35, Ballygunge Circular Road, Calcutta 700019, India

autor

Sankha Bhattacharya

• R.K.M.R. College, Narendrapur 743508, India

Identyfikatory

DOI

10.4064/am39-3-1