scientific article; zbMATH DE number 3357844

zbMath0225.62108MaRDI QIDQ5631966

T. W. Anderson

Publication date: 1971

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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analysis of financial time series under the assumption of local stationarity, Structural inference for linear regression with autocorrelated errors, Several forecast models applied to a specific economic time series, A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS, WALSH-FOURIER ANALYSIS OF DISCRETE-VALUED TIME SERIES, Sequential, accelerated-sequential and three-stage estimation of the mean of a first-order stationary autoregressive process: A monte carlo study, Some applications for Basil's independence theorem in testing econometric models, Adaptive estimation for an extension of the autoregressive time series model, Adaptive estimation and prediction for an extension of the antoregressive multiple time series model, Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances, PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS, The Hybrid Wild Bootstrap for Time Series, Unnamed Item, Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors, FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES, Asymptotic lower bounds for the risk of estimators of the value of a spectral density function, The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables, Inference About the First-Order Autoregressive Coefficient, Efficiency and Validity Analyses of Two-Stage Estimation Procedures and Derived Testing Procedures in Quantitative Linear Models with AR(1) Errors, Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas, Asymptotic Distribution of a Unit Root Process Under Double Truncation, The asymptotic joint distribution of the estimated autoregressive coefficients, THE CHOICE BETWEEN SETS OF REGRESSORS, ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING, Estimating the order of moving average models: the max X²method, Two methods of evaluating hoerl and kennard's ridge regression, Sample moments of the autocorrelations of moving average processes and a modification to bartlett'sasymptotic variance formula, Characterizations of autoregressive prediction and moving average prediction as discrete-time spline interpolation, Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data, Time series in m-dimensions definition, problems and prospects, Time series in m dimensions: Autoregressive models, Moving average models—time series in m-dimensions, THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN, Fitting polynomial trend to time series by the method of Buys-Ballot estimators, Tests for compound periodicities and estimating a non linear function, A note on a local equivalence of two recent approaches to autoregressive order determination, Analysis of three tests for one or two outliers, An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes, Hammerstein system identification by non-parametric regression estimation, Thermodynamics and statistical analysis of Gaussian random fields, A note on maximum likelihood estimation for the first-order autoregressive process, Predicting hospital census using time series regression methods, THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR, OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS, IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS, Identification of discrete Hammerstein systems by the Fourier series regression estimate, Asymptotic expansions for the moments of serial correlation coefficients, Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction, EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES, ON THE COVARIANCE OF THE PERIODOGRAM, ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS, Unnamed Item, General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality, Residuals Based Estimators of the Covariogram, Effect of systematic sampling on arima models, Characteristic values and triangular factorization of the covariance matrix for multinomial, dirichlet and multivariate hypergeometric distributions and some related results