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LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS WITH ERRORS IN VARIABLES

 

作者: Kamal C. Chanda,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1995）
卷期: Volume 16, issue 1  

页码: 1-15

 

ISSN:0143-9782

 

年代: 1995

 

DOI:10.1111/j.1467-9892.1995.tb00220.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Errors‐in‐variables models;autoregressive moving‐average models;identifiability problems;consistent estimation

 

数据来源: WILEY

 

摘要:

Abstract.We consider estimation of parameters of an unobservable ARMA(p, q) process {Ut;t= 1,2,…} based on a set ofnobservables,X1, …,Xn, whereXt=Ut, +εt, 1 ≤t≤n, it being assumed that {εt} is independent of {Ut}. We examine the asymptotic properties of these ARMA estimators under a set of weak regularity condition

 

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