Estimation of time-varying ARMA models with Markovian changes in regime

Christian Francq; Antony Gautier

doi:10.1016/j.spl.2004.10.009

Estimation of time-varying ARMA models with Markovian changes in regime

Christian Francq
, Antony Gautier

Université de Lille

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.

Original language	English
Pages (from-to)	243-251
Number of pages	9
Journal	Statistics and Probability Letters
Volume	70
Issue number	4
DOIs	https://doi.org/10.1016/j.spl.2004.10.009
Publication status	Published - 15 Dec 2004
Externally published	Yes

Keywords

Asymptotic covariance matrix
Markovian changes in regime
Non-stationary processes
Quasi-generalized least-squares estimator
Time-varying ARMA models

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10.1016/j.spl.2004.10.009

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title = "Estimation of time-varying ARMA models with Markovian changes in regime",

abstract = "In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.",

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AU - Gautier, Antony

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KW - Asymptotic covariance matrix

KW - Markovian changes in regime

KW - Non-stationary processes

KW - Quasi-generalized least-squares estimator

KW - Time-varying ARMA models

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DO - 10.1016/j.spl.2004.10.009

M3 - Article

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SN - 0167-7152

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SP - 243

EP - 251

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 4

ER -

Estimation of time-varying ARMA models with Markovian changes in regime

Abstract

Keywords

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