Parameter estimation for ARMA processes with errors in models

DOI10.1016/0167-7152(94)90023-XMaRDI QIDQ1332884zbMATH OpenOpenAlexFDO

Authors Claude Deniau, Hanfu Chen

Publication date 30 November 1994

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)90023-x

zbMATH Keywords

strong consistencyconvergence ratemartingale difference sequenceARMA processmodel errorsrecursive ELS algorithm

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 48067 (Why is no real title available?)
• scientific article; zbMATH DE number 65814 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Almost sure convergence analysis of autoregressive spectral estimation in additive noise
• Autocorrelation, autoregression and autoregressive approximation
• Identification and stochastic adaptive control
• Robustness analysis of identification and adaptive control for stochastic systems

Cited in

(16)

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• scientific article; zbMATH DE number 7353822 (Why is no real title available?)
• Estimation of the parameters for unstable AR models
• Robustness of forecasting of autoregressive time series for additive distortions
• scientific article; zbMATH DE number 1839870 (Why is no real title available?)
• Strongly consistent coefficient estimate for errors-in-variables models
• Recursive estimation of possibly misspecified MA(1) models: convergence of a general algorithm
• A method for adaptive estimation of ARMA processes
• scientific article; zbMATH DE number 218722 (Why is no real title available?)
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• scientific article; zbMATH DE number 148791 (Why is no real title available?)
• Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
• Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
• On Parameter Estimation for Exponential Dispersion Arma Models
• scientific article; zbMATH DE number 7448378 (Why is no real title available?)
• ARMA MODELS WITH ARCH ERRORS

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