Covariance matrix estimation for estimators of mixing weak ARMA models

Journal of Statistical Planning and Inference

Volumn 83, Issue 2, 2000, Pages 369-394

  Francq, Christian ^a   Zakoïan, Jean Michel ^b  

^a UNIVERSITÉ DU LITTORAL CÔTE D OPALE   (France)

^b CREST   (France)

Author keywords

ARMA models; Consistency; Least squares estimator; Non linear models; Robust covariance matrix estimate

Indexed keywords

EID: 0011422677     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0378-3758(99)00109-3     Document Type: Article

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