Maximum standardized cumulant deconvolution of non-Gaussian linear processes

DOI10.1214/AOS/1176347877MaRDI QIDQ751716zbMATH OpenOpenAlexFDO

Authors Qiansheng Cheng

Publication date 1990

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176347877

zbMATH Keywords

autoregressive modelslinear processmaximum standardized cumulant deconvolution

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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(6)

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• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
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• Towards identification of shocks in linear state-space models: application to stochastic volatility model

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