Journal of Time Series Analysis

Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA( p, q ) model

Journal Article

In this study we consider the estimators of the parameters of a stable ARMA(p, q) process. The autoregressive parameters are estimated by the instrumental variable technique while the moving average parameters are estimated using a derived autoregressive process. The estimators are shown to be asymptotically normal and their rate of convergence to normality is derived.

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