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.

引用

页码：1 / 14

页数：14

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