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Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model


Sugata Sen Roy, Department of Statistics, University of Calcutta, 35, Ballygunge Circular Road, Calcutta 700019, India.


In this study we consider the estimators of the parameters of a stable ARMA(p, q) process. The autoregressive parameters are estimated by the instrumental variable technique while the moving average parameters are estimated using a derived autoregressive process. The estimators are shown to be asymptotically normal and their rate of convergence to normality is derived.