MODELLING JOINT AUTOREGRESSIVE MOVING AVERAGE PROCESSES

DOI10.1017/S000497271800062XMaRDI QIDQ4684277zbMATH OpenWikidataFDO

Authors Ross S. Bowden

Publication date 27 September 2018

Published in Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S000497271800062X

zbMATH Keywords

estimationhypothesis testsjoint autoregressive moving average processestime series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A single series representation of multiple independent ARMA processes
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES

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