Geodesic
Two step estimators of the minimum distance type for parameters of the ARMA $(1,1)$ model
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 6 (2010), pp. 48-50

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A new type of minimum distance estimate is constructed in this paper based on a preliminary estimate. We establish the asymptotic normality of the estimate using a uniform linear expansion of a randomly weighted residual empirical process. Such an expansion is valid in a non-standard neighborhood of the true parameter value. We also discuss asymptotic efficiency of the proposed estimate. 
@article{VMUMM_2010_6_a8,
     author = {I. G. \`Erlikh},
     title = {Two step estimators of the minimum distance type for parameters of the {ARMA} $(1,1)$ model},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {48--50},
     publisher = {mathdoc},
     number = {6},
     year = {2010},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMUMM_2010_6_a8/}
}
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I. G. Èrlikh. Two step estimators of the minimum distance type for parameters of the ARMA $(1,1)$ model. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 6 (2010), pp. 48-50. http://geodesic.mathdoc.fr/item/VMUMM_2010_6_a8/