A Monte Carlo study of autoregressive integrated moving average processes

DOI10.1016/0304-4076(78)90004-0zbMath0373.62053OpenAlexW1970128572MaRDI QIDQ1244776

An-Sik Min, Warren T. Dent

Publication date: 1978

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90004-0

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (8)

ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES ⋮ Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties ⋮ CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL ⋮ Finite sample properties of estimators for autoregressive moving average models ⋮ New exact ML estimation and inference for a Gaussian \(MA(1)\) process ⋮ Developments in Maximum Likelihood Unit Root Tests ⋮ Exact maximum likelihood for incomplete data from a correlated gaussian process ⋮ FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS

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