Minimum distance estimation of locally stationary moving average processes

DOI10.1016/j.csda.2019.05.005zbMath1496.62146OpenAlexW2944899225WikidataQ127817533 ScholiaQ127817533MaRDI QIDQ2337317

M. Ignacia Vicuña, Wilfredo Palma, Ricardo A. Olea

Publication date: 19 November 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2019.05.005

zbMATH Keywords

minimum distance estimationlocal stationaritynon-stationaritytime-varying models

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Uses Software

• BayesSpec

Cites Work

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