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

Abstract

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.

Keywords:

• Asymptotic distribution
• Autoregressive moving average model
• Random coefficient
• Rate of convergence

Mathematics Subject Classification:

• Primary 62M10
• Secondary 62E20