ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS

Pentti Saikkonen

Journal of Time Series Analysis, 1986, vol. 7, issue 2, 133-155

Abstract: Abstract. Some simple preliminary estimators for the coefficients of mixed autoregressive moving average time series models are considered. As the first step the estimators require the fitting of a long autoregression to the data. The first two methods of the paper are non‐iterative and generally inefficient. The estimators are Yule‐Walker type modifications of the least squares estimators of the coefficients in auxiliary linear regression models derived, respectively, for the coefficients of the long autoregression and for the coefficients of the corresponding long moving average approximation of the model. Both of these estimators are shown to be strongly consistent and their asymptotic distributions are derived. The asymptotic distributions are used in studying the loss in efficiency and in constructing the third estimator of the paper which is an asymptotically efficient two‐step estimator. A numerical illustration of the third estimator with real data is given.

Date: 1986
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