On the invertibility of time series models
From MaRDI portal
Publication:1249919
DOI10.1016/0304-4149(78)90069-8zbMATH Open0387.62076OpenAlexW2029655359MaRDI QIDQ1249919FDOQ1249919
Authors: Allan Andersen, Clive W. J. Granger 
Publication date: 1978
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(78)90069-8
Cites Work
Cited In (45)
- Current developments in time series modelling
- Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- The stationarity and invertibility of a class of nonlinear ARMA models
- Bayesian analysis of long memory and persistence using ARFIMA models
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- An integer-valued bilinear time series model via two random operators
- Identification of stable elementary bilinear time-series model
- INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
- Maximum likelihood estimation for score-driven models
- Long memory processes and fractional integration in econometrics
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- A note on the invertibility of nonlinear ARMA models
- Verifying irreducibility and continuity of a nonlinear time series
- Sir Clive Granger's contributions to nonlinear time series and econometrics
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- Gaussian inference on certain long-range dependent volatility models
- Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals
- Stationarity and invertibility of simple bilinear models
- Improvements in the formulation and solution approach for stochastic optimizing control of steady state industrial processes
- Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Title not available (Why is that?)
- On the non-negative first-order exponential bilinear time series model
- A new nonlinearity test to circumvent the limitation of Volterra expansion with application
- Properties of some bilinear models with periodic regime switching
- Integer-valued bilinear model with dependent counting series
- Optimal change-point estimation in time series
- Recursive maximum likelihood identification of a non-linear output-affine model
- Parameter estimation of Markov switching bilinear model using the (EM) algorithm
- A note on spurious nonlinear regression
- Probabilistic Time Series Forecasts with Autoregressive Transformation Models
- Nonlinear ARMA models with functional MA coefficients
- Optimal transformations and the spectral envelope for real-valued time series
- ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Hierarchical integrated identification and optimization approach for on-line stochastic optimizing control of large-scale steady-state industrial processes
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Whittle estimation of EGARCH and other exponential volatility models
- A note on bilinear time series models
- Some remarks on bilinear time series models
- Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
- Invertibility of non-linear time series models
- Generalized autoregressive conditional heteroscedasticity
This page was built for publication: On the invertibility of time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1249919)
