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Asymptotics in Transformed ARMA Models
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 Title & Authors
Asymptotics in Transformed ARMA Models
Yeo, In-Kwon;
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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.
Coverage probability;equicontinuous;uniform convergence;
 Cited by
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