The estimation of a nonlinear moving average model

DOI10.1016/0304-4149(77)90052-7zbMATH Open0357.62072OpenAlexW2025936568MaRDI QIDQ1238201FDOQ1238201

Authors: Peter M. Robinson 

Publication date: 1977

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(77)90052-7

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• The asymptotic theory of linear time-series models
• Martingale Central Limit Theorems
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On the $L_p$-Convergence for $n^{-1/p} S_n, 0 < p < 2^1$
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Cited In (16)

• A new method to mitigate data fluctuations for time series prediction
• Times series models with thresholds
• A Statistical Method for the Determination of the Appropriate Order in a General Class of Time Series Models
• On moving-average models with feedback
• A note on moving-average models with feedback
• A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES
• A note on the invertibility of nonlinear ARMA models
• Nonlinear time series with long memory: A model for stochastic volatility
• A nonparametric goodness-of-fit test for a class of parametric autoregressive models
• ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM
• Title not available (Why is that?)
• Analysis of drawdowns and drawups in the US$ interest-rate market
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Estimation in nonlinear time series models
• On nonlinear models for time series
• On the invertibility of time series models

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