Asymptotic distribution of parameter estimators for nonconsecutively observed time series
Publication:3761465
DOI10.1093/biomet/74.1.115zbMath0623.62016OpenAlexW2106400542MaRDI QIDQ3761465
Michael A. Wincek, Gregory C. Reinsel
Publication date: 1987
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/74.1.115
asymptotic normalitymaximum likelihood estimatornumerical comparisonsmissing dataautoregressive-moving average modelsasymptotic variancesGauss-Newton weighted least-squares estimatornonconsecutively observed datanormal and non-normal distributional assumptionstime spacings
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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