Consistency of global LSE for MA(1) models

DOI10.1016/J.SPL.2021.109292MaRDI QIDQ2070587zbMATH OpenOpenAlexFDO

Authors Yaxing Yang, Shiqing Ling, Qiying Wang

Publication date 24 January 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2021.109292

zbMATH Keywords

consistencyLSEMA model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• Estimation in nonlinear time series models
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• scientific article; zbMATH DE number 3620754 (Why is no real title available?)
• LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Parameter estimation for ARMA models with infinite variance innovations
• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
• The asymptotic theory of linear time-series models
• The Discounted Central Limit Theorem and its Berry-Esseen Analogue
• The global weighted lad estimators for finite/infinite variance ARMA(p,q) models
• Weighted least absolute deviations estimation for ARMA models with infinite variance

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