On Estimation and Asymptotic Properties of the Parameters of ARMA (p, q) Process in the Stable Case

Abstract

In this paper we study asymptotic properties of a class of Least Square estimation procedures of the parameters of an ARMA ( p, q) process in the stable case with independently and identically distributed continuous error variables having finite fourth order moment. We have also utilised the instrumental variabie estimator for autoregressive parameters taking moving-averags innovations. We derive the limiting distributions of the estimators of parameters and illustrate the estimation procedure by a limited simulation.