Computing and estimating information matrices of weak ARMA models

Y. Boubacar Mainassara, M. Carbon and Christian Francq

Computational Statistics & Data Analysis, 2012, vol. 56, issue 2, 345-361

Abstract: Numerous time series admit weak autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences. The statistical inference of this general class of models requires the estimation of generalized Fisher information matrices. Analytic expressions are given for these information matrices, and consistent estimators, at any point of the parameter space, are proposed. The theoretical results are illustrated by means of Monte Carlo experiments and by analyzing the dynamics of daily returns and squared daily returns of financial series.

Keywords: Asymptotic relative efficiency (ARE); Bahadur’s slope; Information matrices; Lagrange Multiplier test; Nonlinear processes; Wald test; Weak ARMA models (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Working Paper: Computing and estimating information matrices of weak arma models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:2:p:345-361

DOI: 10.1016/j.csda.2011.07.006

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