A simple noniterative estimator for moving average models

DOI10.1093/BIOMET/81.1.143MaRDI QIDQ4299489zbMATH OpenOpenAlexFDO

Authors John W. Galbraith, Victoria Zinde-Walsh

Publication date 4 July 1994

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/81.1.143

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(9)

• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• A new preliminary estimator for MA(1) models
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Improved inference for moving average disturbances in nonlinear regression models
• COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
• ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
• GARCH Model Estimation Using Estimated Quadratic Variation
• Shrinkage and noniterative estimation for moving average models with structural breaks

This page was built for publication: A simple noniterative estimator for moving average models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4299489)