ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER

DOI10.1111/J.1467-9892.1993.TB00130.XMaRDI QIDQ4696579zbMATH OpenOpenAlexFDO

Authors George Mathew, W. P. McCormick

Publication date 29 June 1993

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00130.x

zbMATH Keywords

AR(1) processasymptotic limit lawsconditional maximum likelihood estimateexponential distributionheavy-tailed innovation distributionlinear programming problemmoving-average processespoint processesregular variation of the innovation distributionstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of mathematical programming (90C90)

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Cites work

• Estimation for first-order autoregressive processes with positive or bounded innovations
• Extreme value theory for moving average processes
• Extremes of moving averages of random variables with finite endpoint
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• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Limit theory for the sample covariance and correlation functions of moving averages
• Non-negative time series models for dry river flow
• On ar(1) processes with exponential white noise
• Weak convergence results for extremal processes generated by dependent random variables

Cited in

(15)

• Parameter estimation for moving averages with positive innovations
• Estimation for non-negative time series with heavy-tail innovations
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• Estimation for autoregressive processes with positive innovations
• scientific article; zbMATH DE number 151787 (Why is no real title available?)
• Practical estimation from the sum of ar(1) processes
• scientific article; zbMATH DE number 562293 (Why is no real title available?)
• Product autoregressive models for non-negative variables
• Bootstrap, modified maximum likelihood and moment estimators comparison for parameters of autoregressive model with non-negative residuals
• ESTIMATION FOR REGRESSIVE AND AUTOREGRESSIVE MODELS WITH NON-NEGATIVE RESIDUAL ERRORS
• First‐Order Autoregressive Processes with Heterogeneous Persistence
• Inverse Gaussian Autoregressive Models
• Estimation for first-order autoregressive processes with positive or bounded innovations
• The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure
• Bayesian prediction in threshold autoregressive models with exponential white noise

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