C. Francq et Jm. Zakoian, ESTIMATING WEAK ARMA REPRESENTATIONS UNDE R MIXING CONDITIONS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 323(3), 1996, pp. 297-300
A large class of nonlinear processes admit weak ARMA representations.
We propose an estimation procedure based on the minimization of a sum
of squared deviations about linear conditional expectations. Strong co
nsistency and asymptotic normality are shown to hold for the estimator
under ergodic and mixing assumptions.