A Monte Carlo study of autoregressive integrated moving average processes

DOI10.1016/0304-4076(78)90004-0MaRDI QIDQ1244776zbMATH OpenOpenAlexFDO

Authors An-Sik Min, Warren T. Dent

Publication date 1978

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(78)90004-0

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites work

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Cited in

(8)

• Finite sample properties of estimators for autoregressive moving average models
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Exact maximum likelihood for incomplete data from a correlated gaussian process
• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL
• Developments in maximum likelihood unit root tests

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