On buffered moving average models

DOI10.1111/JTSA.12778MaRDI QIDQ6962070zbMATH OpenFDO

Authors Yipeng Zhuang, Dong Li, Philip L. H. Yu, Wai Keung Li

Publication date 9 July 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12778

zbMATH Keywords

buffered moving average (BMA) modelbuffered zoneleast squares estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A Bayesian nonlinearity test for threshold moving average models
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• Hysteretic autoregressive time series models
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• On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
• On the least squares estimation of threshold autoregressive and moving-average models
• Probability
• Testing for a linear MA model against threshold MA models
• Testing for the buffered autoregressive processes
• Testing for Threshold Effects in the TARMA Framework
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(1)

• Shrinkage and noniterative estimation for moving average models with structural breaks

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