Estimation of weak ARMA models with regime changes

Yacouba Boubacar Maïnassara () and Landy Rabehasaina ()
Additional contact information
Yacouba Boubacar Maïnassara: Université Bourgogne Franche-Comté
Landy Rabehasaina: Université Bourgogne Franche-Comté

Statistical Inference for Stochastic Processes, 2020, vol. 23, issue 1, No 1, 52 pages

Abstract: Abstract In this paper we derive the asymptotic properties of the least squares estimator (LSE) of autoregressive moving-average (ARMA) models with regime changes under the assumption that the errors are uncorrelated but not necessarily independent. Relaxing the independence assumption considerably extends the range of application of the class of ARMA models with regime changes. Conditions are given for the consistency and asymptotic normality of the LSE. A particular attention is given to the estimation of the asymptotic covariance matrix, which may be very different from that obtained in the standard framework. The theoretical results are illustrated by means of Monte Carlo experiments.

Keywords: Least square estimation; Random coefficients; Weak ARMA models; Primary 62M10; 62F03; 62F05; Secondary 91B84; 62P05 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s11203-019-09202-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09202-3

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-019-09202-3

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().