The first-order moving average process. Identification, estimation and prediction

DOI10.1016/0304-4076(74)90035-9zbMath0299.62052MaRDI QIDQ1215237

Charles R. Nelson

Publication date: 1974

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90035-9

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

Related Items

Finite sample properties of estimators for autoregressive moving average models, Problems with the estimation of moving average processes, Gains in efficiency from joint estimation of systems of autoregressive- moving average processes, Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results, A Monte Carlo study of autoregressive integrated moving average processes, A mixed time-series/econometric approach to forecasting peak system load, Hypothesis testing based on goodness-of-fit in the moving average time series model, Estimation of a non-invertible moving average process: the case of overdifferencing, A new preliminary estimator for MA(1) models, ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS, Bayesian subset selection for additive and linear loss function, A recursive approach to parameter estimation in regression and time series models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation and information in stationary time series
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• Optimal Properties of Exponentially Weighted Forecasts
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• First Order Autoregression: Inference, Estimation, and Prediction
• A Survey of Numerical Methods for Unconstrained Optimization
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data
• Least squares estimation in dynamic-disturbance time series models
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals
• Distribution of the Serial Correlation Coefficient