Asymptotic distribution of least squares estimators for purely unstable ARMAX(p,s,q) process

被引：0
|
作者：
Benaid, Brahim [1 ,2 ]
机构：
[1] IUT Pau & Pays Adours, Pau, France
[2] UPPA, UMR CNRS 5142, LMA, Dept Stat & Informat Decis, Pau, France
来源：
INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS | 2011年 / 21卷 / J11期
关键词：
Stochastic integrals; convergence in distribution; asymptotic statistics; least squares estimators; ARMAX model;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We establish the limiting distribution of least squares estimators (phi) over cap (n), of the vector f of the autoregressive parameters in a purely unstable ARMAX( r,s,q). This extends the results obtained by Boutahar (1991) for the unstable ARX model. More precisely, it is shown that the asymptotic distribution (phi) over cap (n) - phi which are stochastic integrals with respect to Brownian motion differs from the purely unstable ARX by a decentring term due to the correlation between the (yt)'s and their MA part.
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页码：1 / 14
页数：14
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