Parameter estimation for some time series models without contiguity

DOI10.1016/0167-7152(91)90117-AzbMath0725.62079OpenAlexW2017433662MaRDI QIDQ2277732

Richard A. Davis, Murray Rosenblatt

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0167-7152(91)90117-a

zbMATH Keywords

linear processescontiguityautoregressive processesdiscrete noisetime series modelsARMA-processesstationary Gaussian autoregressive moving average process

Mathematics Subject Classification ID

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

Related Items (3)

Limit distributions for linear programming time series estimators ⋮ Limit theory and bootstrap for explosive and partially explosive autoregression ⋮ Unnamed Item

Cites Work

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• Maximum likelihood estimation for noncausal autoregressive processes
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• On adaptive estimation in stationary ARMA processes
• Arithmetic Properties of Bernoulli Convolutions
• ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
• A Sharper Form of the Inequality for the Concentration Function
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES

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