ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS

DOI10.1111/J.1467-9892.1993.TB00128.XMaRDI QIDQ4696578zbMATH OpenOpenAlexFDO

Authors Da-Wen Huang, Vo V. Anh

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.tb00128.x

zbMATH Keywords

ARUMA processbackward least squares estimationbackward shift operatoreigenvector estimatorleast squares estimationnonstationary factorrecursive estimationsimulation studysmall sample sizeswhite noise

Mathematics Subject Classification ID

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

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Cites work

• A new autoregressive spectrum analysis algorithm
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Fast Approximation of Dominant Harmonics
• On the maximal entropy property for ARMA processes and ARMA approximation

Cited in

(2)

• On some classes of nonstationary parametric processes
• Estimation of parameters in ARUMA models

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