An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes

DOI10.1016/0047-259X(92)90037-GMaRDI QIDQ1206453zbMATH OpenOpenAlexFDO

Authors Keh-Shin Lii, Murray Rosenblatt

Publication date 1 April 1993

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(92)90037-g

zbMATH Keywords

asymptotic normalityconsistencyspectral densitysimulation studymoving average processesapproximate maximum likelihood procedurenonminimum phaseindependent and identically distributed non-Gaussian noiseMA(2) processesnoninvertiblesolutions of likelihood-like equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cited in

(33)

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