Computing and estimating information matrices of weak ARMA models
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Cites work
- scientific article; zbMATH DE number 3858241 (Why is no real title available?)
- scientific article; zbMATH DE number 3930202 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 3633585 (Why is no real title available?)
- scientific article; zbMATH DE number 1211744 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bartlett's formula for a general class of nonlinear processes
- Basic properties of strong mixing conditions. A survey and some open questions
- Consistent autoregressive spectral estimates
- Covariance matrix estimation for estimators of mixing weak ARMA models
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
- Efficient Monte Carlo computation of Fisher information matrix using prior information
- Estimating linear representations of nonlinear processes
- Estimation and information in stationary time series
- Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
- FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
- HAC estimation and strong linearity testing in weak ARMA models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Inference For Autocorrelations Under Weak Assumptions
- Least absolute deviation estimation for all-pass time series models
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Maximum likelihood estimation in nonlinear mixed effects models
- Methods for recursive robust estimation of AR parameters
- On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
- On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
- Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
- The mixing property of bilinear and generalised random coefficient autoregressive models
- Time series: theory and methods.
Cited in
(16)- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Estimation of weak ARMA models with regime changes
- Portmanteau tests for periodic ARMA models with dependent errors
- Temporal aggregation and systematic sampling for INGARCH processes
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
- On mixture autoregressive conditional heteroskedasticity
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- Estimating weak periodic vector autoregressive time series
- Goodness-of-fit tests for SPARMA models with dependent error terms
- On the Fisher information matrix of a vector ARMA process
- scientific article; zbMATH DE number 4163901 (Why is no real title available?)
- Computation of the exact information matrix of Gaussian dynamic regression time series models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- The information matrix test in the linear regression with ARMA errors
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