Alternative models for stationary stochastic processes

DOI10.1016/0304-4149(78)90003-0zbMath0391.62069OpenAlexW2064209272MaRDI QIDQ1251442

Peter M. Robinson

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)90003-0

zbMATH Keywords

Central Limit TheoremAlternative ModelsComparingEstimation of ParametersFit of Standard Autoregressive Moving Average ModelsFourth Moment ConditionRate of ConvergenceStationary Stochastic ProcessesStrong Consistency of Parameter EstimatesTime Series Models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items

On a criterion for the selection of models for stationary time series, Whittle estimation of EGARCH and other exponential volatility models, Parameter estimation and hypothesis testing in stationary vector time series, FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS, Gaussian inference on certain long-range dependent volatility models, Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions, Peak-insensitive parametric spectrum estimation, On the consistency of the global minimizer of Mallow's criterion for nonparametric regression, Model fitting for continuous-time stationary processes from discrete-time data, TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION, ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL, Gaussian estimation of parametric spectral density with unknown pole, Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The asymptotic distribution of serial covariances
• Asymptotic inference in stationary Gaussian time-series
• A Moving Average Representation for Random Variables Covariance Stationary on a Finite Time Interval
• The asymptotic theory of linear time-series models
• Topographic correlation, power-law covariance functions, and diffusion
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series