A note on nonlinear regression for the autoregressive moving average with non-hd errors

Abstract

Estimation by nonlinear regression of the parameters for the stationary and invertible autoregressive moving average (ARMA) model with mixing or martingale difference errors is considered. Simple proofs of consistency and asymptotic normality for the nonlinear least squares estimator are given by exploiting results from nonlinear estimation theory and mixing and mixingale theory.

Keywords:

• large sample properties
• nonlinear estimation
• mizingale theory

Additional information

Notes on contributors

Sahadeb Sarkar