Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models (Q485924): Difference between revisions

@@ Property / author @@
-Yacouba Boubacar Maïnassara
@@ Property / author: Yacouba Boubacar Maïnassara / rank @@
-Normal rank
@@ Property / author @@
+Yacouba Boubacar Maïnassara
@@ Property / author: Yacouba Boubacar Maïnassara / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H15
@@ Property / Mathematics Subject Classification ID: 62H15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / zbMATH DE Number @@
+6386284
@@ Property / zbMATH DE Number: 6386284 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+covariance matrix estimate
@@ Property / zbMATH Keywords: covariance matrix estimate / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lagrange multiplier test
@@ Property / zbMATH Keywords: Lagrange multiplier test / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+likelihood ratio test
@@ Property / zbMATH Keywords: likelihood ratio test / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+QMLE/LSE
@@ Property / zbMATH Keywords: QMLE/LSE / rank @@
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@@ Property / zbMATH Keywords @@
+residuals derivatives
@@ Property / zbMATH Keywords: residuals derivatives / rank @@
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@@ Property / zbMATH Keywords @@
+Wald test
@@ Property / zbMATH Keywords: Wald test / rank @@
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@@ Property / zbMATH Keywords @@
+weak VARMA models
@@ Property / zbMATH Keywords: weak VARMA models / rank @@
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+Publication
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@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Maximum likelihood estimation for all-pass time series models
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+Consistent autoregressive spectral estimates
@@ Property / cites work: Consistent autoregressive spectral estimates / rank @@
+Normal rank
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+Generalized autoregressive conditional heteroscedasticity
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+Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
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+Selection of weak VARMA models by modified Akaike's information criteria
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+Computing and estimating information matrices of weak ARMA models
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+Estimating structural VARMA models with uncorrelated but non-independent error terms
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+A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
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+Time series: theory and methods.
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+Convergence of Distributions Generated by Stationary Stochastic Processes
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+Diagnostic Checking in ARMA Models With Uncorrelated Errors
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+Estimating linear representations of nonlinear processes
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+Covariance matrix estimation for estimators of mixing weak ARMA models
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+HAC estimation and strong linearity testing in weak ARMA models
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+On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
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+W2039223210
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+Publication:485924