The asymptotic CRLB for the spectrum of ARMA processes

Estimation in ARMA models based on signed ranks

In this paper we develop an asymptotic theory for estimation based on signed ranks in the ARMA model when the innovation density is symmetrical. We provide two classes of estimators and we establish their asymptotic normality with the help of the asymptotic properties for serial signed rank statistics. Finally, we compare our procedure to the one of least-squares, and we illustrate the performa...

Monitoring Financial Processes with ARMA-GARCH Model Based on Shewhart Control Chart (Case Study: Tehran Stock Exchange)

Financial surveillance is an interesting area after financial crisis in recent years. In this subject, important financial indices are monitored using control charts. Control chart is a powerful instrument for detecting assignable causes which is considerably developed in industrial and service environments. In this paper, a monitoring procedure based on Shewhart control chart is proposed to mo...

The Informati Matrix and Robust

This paper discusses the stochastic process structure of certain differential transformations (OTis) associated with perfectly observed ARMA processes and uses DT's to obtain the asymptotic information matrix for possibly non-Gaussian situations. The DT's can also be applied to implement approximate M-estimate algorithms for the ARMA model parameters. M-estimates yield asymptotic efficieQcy rob...

Nearly Nonstationary Arma Processes: Second Order Properties

Second order properties of nearly nonstationary ARMA processes are investigated in the cases when the autoregressive polynomial equation has (i) a real root close to 1; (ii) a real root close to -1; (iii) a pair of complex roots close to the unit circle. The effect of the closeness to the unit circle of the ARMA poles on its covariance and spectral density functions is considered. The obtained ...

Asymptotic Behavior of Multivariate Reward Processes with Nonlinear Reward Functions