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http://dx.doi.org/10.5351/CKSS.2011.18.1.071

Asymptotics in Transformed ARMA Models  

Yeo, In-Kwon (Department of Statistics, Sookmyung Women's University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.1, 2011 , pp. 71-77 More about this Journal
Abstract
In this paper, asymptotic results are investigated when a parametric transformation is applied to ARMA models. The conditions are determined to ensure the strong consistency and the asymptotic normality of maximum likelihood estimators and the correct coverage probability of the forecast interval obtained by the transformation and backtransformation approach.
Keywords
Coverage probability; equicontinuous; uniform convergence;
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Times Cited By KSCI : 1  (Citation Analysis)
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