Alternative models for stationary stochastic processes

DOI10.1016/0304-4149(78)90003-0MaRDI QIDQ1251442zbMATH OpenOpenAlexFDO

Authors Peter M. Robinson

Publication date 1978

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(78)90003-0

zbMATH Keywords

Central Limit TheoremAlternative ModelsComparingEstimation of ParametersFit of Standard Autoregressive Moving Average ModelsFourth Moment ConditionRate of ConvergenceStationary Stochastic ProcessesStrong Consistency of Parameter EstimatesTime Series Models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites work

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• A Moving Average Representation for Random Variables Covariance Stationary on a Finite Time Interval
• Asymptotic inference in stationary Gaussian time-series
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• The asymptotic distribution of serial covariances
• The asymptotic theory of linear time-series models
• Topographic correlation, power-law covariance functions, and diffusion

Cited in

(13)

• On a criterion for the selection of models for stationary time series
• FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Gaussian inference on certain long-range dependent volatility models
• Gaussian estimation of parametric spectral density with unknown pole
• Model fitting for continuous-time stationary processes from discrete-time data
• Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
• Parameter estimation and hypothesis testing in stationary vector time series
• On the consistency of the global minimizer of Mallow's criterion for nonparametric regression
• Peak-insensitive parametric spectrum estimation
• TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• Whittle estimation of EGARCH and other exponential volatility models

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