Estimating linear representations of nonlinear processes

DOI10.1016/s0378-3758(97)00139-0zbMath0942.62100OpenAlexW2039729127MaRDI QIDQ111924

Christian Francq, Jean-Michel Zakoïan, Christian Francq, Jean-Michel Zakoian

Publication date: May 1998

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00139-0

zbMATH Keywords

consistency asymptotic normality nonlinear models least-squares estimator ARMA models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (53)

Strong convergence of estimators in nonlinear autoregressive models ⋮ Temporal aggregation and systematic sampling for INGARCH processes ⋮ Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\) ⋮ A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ HAC estimation and strong linearity testing in weak ARMA models ⋮ Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models ⋮ Selection of weak VARMA models by modified Akaike's information criteria ⋮ A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ Linear filtering for asymmetric stochastic volatility models ⋮ Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors ⋮ Estimating weak periodic vector autoregressive time series ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ Bayesian inference for a mixture double autoregressive model ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ Spectral analysis for GARCH processes through a bilinear representation ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ Linear approximation of the threshold autoregressive model: an application to order estimation ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Estimating structural VARMA models with uncorrelated but non-independent error terms ⋮ Implementation of Lévy CARMA model in \texttt{yuima} package ⋮ Autocopulas: investigating the interdependence structure of stationary time series ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ Structure of a double autoregressive process driven by a hidden Markov chain ⋮ Covariance matrix estimation for estimators of mixing weak ARMA models ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Estimation of weak ARMA models with regime changes ⋮ Asymptotic properties of conditional least-squares estimators for array time series ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms ⋮ Contemporaneous asymmetry in GARCH processes ⋮ Estimation and Testing Stationarity for Double-Autoregressive Models ⋮ Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes ⋮ Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors ⋮ Stationarity of multivariate Markov-switching ARMA models ⋮ Estimation of stable CARMA models with an application to electricity spot prices ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations ⋮ weakARMA ⋮ Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models ⋮ A light-tailed conditionally heteroscedastic model with applications to river flows ⋮ On partial-sum processes of ARMAX residuals ⋮ Efficient use of higher‐lag autocorrelations for estimating autoregressive processes ⋮ Bayesian semiparametric double autoregressive modeling ⋮ The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models ⋮ Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models ⋮ Whittle estimation in multivariate CCC-GARCH processes ⋮ ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS

Cites Work

This page was built for publication: Estimating linear representations of nonlinear processes