Numerous time series admit weak autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences. The statistical inference of this general class of models requires the estimation of generalized Fisher...

The asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of vector autoregressive moving-average (VARMA) models are derived under the assumption that the errors are uncorrelated but not necessarily independent nor martingale differences. Relaxing the martingale difference...