Comparing ARMA processes with roots of modulus 1 and polynomial regression

DOI10.1080/03610926.2011.617482MaRDI QIDQ3167826zbMATH OpenOpenAlexFDO

Authors Delphine Blanke, Denis Bosq

Publication date 29 October 2012

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.617482

zbMATH Keywords

ARMAIMAinnovationpolynomial regressionreal and complex roots of modulus oneseasonality

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Automatic Lag Selection in Covariance Matrix Estimation
• Generalizations of the KPSS‐test for stationarity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Inference and Prediction in Large Dimensions
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Time series: theory and methods.

Cited in

(2)

• Bayesian prediction for stochastic processes: theory and applications
• Models Associated with Extended Exponential Smoothing

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• R

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