Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients

Rajae Azrak and Guy Mélard ()

Statistical Inference for Stochastic Processes, 2006, vol. 9, issue 3, 279-330

Keywords: Non-stationary process; time series; time-dependent model; Primary 62M15; secondary 62M05 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11203-005-1055-6

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