Chen Zhong

Statistical Inference and Structural Break Detection in Nonstationary ARMA Model With Dependent Innovations

A certain dependence is imposed on the innovation of a heteroscedastic autoregressive moving average (ARMA) time series with a trend. When the trend and variance functions were known, the infeasible maximal likelihood estimator (MLE) of the ARMA coefficients is shown to be asymptotically normal with a covariance stru...