Adaptive estimation in multiple time series with independent component errors

DOI10.1111/JTSA.12212MaRDI QIDQ2968462zbMATH OpenOpenAlexFDO

Authors

Publication date 16 March 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/68345/

zbMATH Keywords

independent component analysisadaptive estimationstationary processesmultiple time seriesforecast errorefficient semiparametric estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Stationary stochastic processes (60G10)

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Cites work

• 10.1162/153244303768966085
• Adaptive estimates for autoregressive processes
• Adaptive estimation in time-series models
• Adaptive estimation of regression models via moment restrictions
• Adaptive maximum likelihood estimators of a location parameter
• Consistent independent component analysis and prewhitening
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Efficient estimation in nonlinear autoregressive time-series models
• Efficient independent component analysis
• Independent component analysis via nonparametric maximum likelihood estimation
• Independent component ordering in ICA time series analysis.
• Nonparametric independent component analysis
• On adaptive estimation
• On adaptive estimation in stationary ARMA processes

Cited in

(3)

• Estimation of time series models using residuals dependence measures
• Error-adaptive modeling of streaming time-series data using radial basis functions
• Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market

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Uses Software

• TVICA

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