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

Kamal C. Chanda

Journal of Time Series Analysis, 1995, vol. 16, issue 1, 1-15

Abstract: Abstract. We consider estimation of parameters of an unobservable ARMA(p, q) process {Ut; t= 1,2,…} based on a set of n observables, X1, …, Xn, where Xt=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 conditions on {εt}.

Date: 1995
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