Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA (p, q) Model

被引：1
|
作者：
Sen Roy, Sugata [1 ]
Bhattacharya, Sankha [2 ]
机构：
[1] Univ Calcutta, Dept Stat, Kolkata 700019, W Bengal, India
[2] RKMR Coll, Narendrapur, India
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 06期
关键词：
Asymptotic distribution; Autoregressive moving average model; Random coefficient; Rate of convergence; AUTOREGRESSIVE MODEL; INFERENCE;
D O I：
10.1080/03610920903523335
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this article, we consider a random coefficient ARMA (p, q) model with stable roots and show that the distribution of the estimators of the model parameters is asymptotically normal. The rate of convergence to normality is then derived.
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页码：1081 / 1092
页数：12
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