Covariance matrix estimation for estimators of mixing weak ARMA models

DOI10.1016/S0378-3758(99)00109-3zbMath0976.62086OpenAlexW2013276778MaRDI QIDQ1970859

Christian Francq, Jean-Michel Zakoian

Publication date: 8 January 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(99)00109-3

zbMATH Keywords

consistencynonlinear modelsleast-squares estimatorARMA modelssecond-order stationary processesrobust covariance matrix estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (15)

Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\) ⋮ TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS ⋮ HAC estimation and strong linearity testing in weak ARMA models ⋮ Estimating weak periodic vector autoregressive time series ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ Bayesian inference for a mixture double autoregressive model ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Structure of a double autoregressive process driven by a hidden Markov chain ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Estimation and Testing Stationarity for Double-Autoregressive Models ⋮ Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models ⋮ Bayesian semiparametric double autoregressive modeling ⋮ Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models

Uses Software

• AS 197

Cites Work

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