Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise

DOI10.1016/S0304-4149(98)00039-8zbMath0926.62078OpenAlexW2140856578MaRDI QIDQ1805794

Richard A. Davis, Thomas Mikosch

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00039-8

zbMATH Keywords

maximum likelihood estimationunit rootmoving average processstable distributionnon-invertible process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Non-standard limits for a family of autoregressive stochastic sequences ⋮ Testing for reduction to random walk in autoregressive conditional heteroskedasticity models ⋮ Asymptotics of regressions with stationary and nonstationary residuals.

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Limit theory for the sample covariance and correlation functions of moving averages
• M-estimation for autoregression with infinite variance
• Time series: theory and methods.
• Fréchet differentiability, \(p\)-variation and uniform Donsker classes
• An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Parameter estimation for infinite variance fractional ARIMA
• Parameter estimation for ARMA models with infinite variance innovations
• Strong variation for the sample functions of a stable process
• An inequality of the Hölder type, connected with Stieltjes integration
• Point processes, regular variation and weak convergence
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• On the limit theorems for random variables with values in the spaces L p (2?p<?)
• Inference for Near-Integrated Time Series With Infinite Variance
• Convergence of stochastic processes
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise