Minimum Distance Estimation of Possibly Noninvertible Moving Average Models

DOI10.1080/07350015.2014.955175MaRDI QIDQ6667037zbMATH OpenFDO

Authors Nikolay Gospodinov, Serena Ng

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.955175

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cited in

(1)

• Non-causal and non-invertible ARMA models: identification, estimation and application in equity portfolios

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