A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
DOI10.1214/AOS/1176344671zbMATH Open0406.62068OpenAlexW2024500837MaRDI QIDQ1257752FDOQ1257752
Authors: William T. M. Dunsmuir 
Publication date: 1979
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176344671
Central Limit TheoremParameter EstimationLinear ProcessesPrediction TheoryStationary Ergodic Nondeterministic Vector Time SeriesStationary Vector Noise
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)
Cited In (43)
- Tests of Granger causality by the selection of the orders of a bivariate autoregressive model
- Maximum likelihood estimation for arma models in the presence of ARMA errors
- Optimal instrumental variables estimation for ARMA models
- Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise
- A likelihood approximation for locally stationary processes
- A limit theory for long-range dependence and statistical inference on related models
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
- Multivariate Stochastic Volatility: A Review
- Statistical inference for spatial statistics defined in the Fourier domain
- Portmanteau tests for linearity of stationary time series
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- A spectral EM algorithm for dynamic factor models
- Title not available (Why is that?)
- Iterative QML estimation for asymmetric stochastic volatility models
- Estimation of parameters for Hilbert space-valued partially observable stochastic processes
- Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
- Fourier analysis of irregularly spaced data on \(R^d\)
- Locally stationary spatio-temporal processes
- Seasonally and approximation errors in rational expectations models
- The estimation of systems of joint differential-difference equations
- ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
- Parameter Estimation Robust to Low-Frequency Contamination
- Estimation of vector Armax models
- A Stochastic Volatility Model With a General Leverage Specification
- ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
- A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise
- Testing nonparametric and semiparametric hypotheses in vector stationary processes
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Asymptotic normality of spectral estimates
- Spectral estimation of a structural thin-plate smoothing model
- Parameter estimation and hypothesis testing in stationary vector time series
- MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE
- Quasi-maximum likelihood estimation of stochastic volatility models
- Graphical Principal Component Analysis of Multivariate Functional Time Series
- Outliers in a multivariate autoregressive moving-average process
- Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
- ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
- Periodic autoregressive stochastic volatility
- ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA
- Whittle estimation of EGARCH and other exponential volatility models
- Nonparametric approach for discriminant analysis in time series
This page was built for publication: A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1257752)
