Asymptotic Normality of Autoregressive Parameter Estimates for Mixed Time Series

摘要

In this report it is shown for mixed time series, a series generated by an autoregressive moving-average (ARMA) process or by an autoregressive process observed in additive white noise (AR+N), that estimates of the autogressive (AR) parameters are asymptotically multivariate jointly normal with zero mean and finite covariance matrix. The structure of the asymptotic covariance matrix is evaluated for both types of mixed time series. (Author)