Parametric Inference in Stationary Time Series Models with Dependent Errors

DOI10.1111/j.1467-9469.2011.00781.xzbMath1253.62063OpenAlexW2169306044MaRDI QIDQ3145568

Xiao-Feng Shao

Publication date: 21 December 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00781.x

zbMATH Keywords

frequency domainconfidence regionblock bootstrapself-normalizationlong memory time series

Mathematics Subject Classification ID

Related Items (8)

Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ Portmanteau tests for periodic ARMA models with dependent errors ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ A general approach to the joint asymptotic analysis of statistics from sub-samples ⋮ Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations

Uses Software

• longmemo

Cites Work

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