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Two Step Estimators of the Minimum Distance Type for Parameters of the ARMA(1,1) Model / Erlikh I.G. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2010. № 6. P. 48-50 [Moscow Univ. Math. Bulletin. Vol. 65, No 6, 2010. P. 252-254]. New minimum distance estimators are constructed with the help of a preliminary estimator. The asymptotic normality of the constructed estimator is proved with use of a uniform linear expansion of a randomly weighted residual empirical process in a non-standard neighborhood of the true parameter value. Also the question on asymptotic efficiency of the constructed estimator is discussed.
Key words: ARMA model, minimum distance estimates, empirical
process, uniform linear expansion.
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