M-estimation for general ARMA processes with infinite variance
ARMA processbootstrapinfinite varianceM-estimationnon-causalitynon-invertibilitystable distributiontime series
Infinitely divisible distributions; stable distributions (60E07) Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- scientific article; zbMATH DE number 3936300
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Parameter estimation for ARMA models with infinite variance innovations
- M-estimation for a spatial unilateral autoregressive model with infinite variance innovations
- An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
- Consistent estimation for non-Gaussian non-causal autoregressive processes
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Gaussian and non-Gaussian linear time series and random fields
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1089177 (Why is no real title available?)
- scientific article; zbMATH DE number 854948 (Why is no real title available?)
- Least absolute deviation estimation for all-pass time series models
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Least absolute deviation estimation for general autoregressive moving average time-series models
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Maximum likelihood estimation for all-pass time series models
- Parameter estimation for ARMA models with infinite variance innovations
- Portmanteau tests for ARMA models with infinite variance
- Quasi-likelihood estimation of non-invertible moving average process
- Rank-based estimation for all-pass time series models
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- Linear prediction of ARMA processes with infinite variance
- M-estimation for autoregression with infinite variance
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Parameter estimation for ARMA models with infinite variance innovations
- A note on bootstrapping \(M\)-estimators in ARMA models
- Least absolute deviation estimation for general ARMA time series models with infinite variance
- Identifying infinite variance arma models using a robust pukk1la koreisha kallinen strategy
- scientific article; zbMATH DE number 3936300 (Why is no real title available?)
- Ordinary and proper location M-estimates for autoregressive-moving average models
- scientific article; zbMATH DE number 1301877 (Why is no real title available?)
- Parameter estimation for a misspecified arma model with infinite variance innovations
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
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