论文信息 - Large-sample estimation of parameters for autoregressive processes with moving-average residuals

Large-sample estimation of parameters for autoregressive processes with moving-average residuals

sider the problem of estimating the set of parameters (ca,, ..., op, /,1 ... ,/&), given consecutive observations (xl, x2, ..., xn) from the series, and show that for large n, the method of estimation for a moving-average model (obtained by putting coi = 0, 1 < i < p) which is described in a previous paper (Walker, 1961 b), referred to subsequently as I, can readily be adapted to the above model. As in I we shall assume that the representation of the moving-average residual process is 'regular', i.e. that the moduli of the roots of the equation

A. M. Walker

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