Maximum likelihood estimation for all-pass time series models

DOI10.1016/j.jmva.2006.01.005zbMath1102.62091OpenAlexW2140401552MaRDI QIDQ2499083

Richard A. Davis, F. Jay Breidt, Beth Andrews

Publication date: 14 August 2006

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.01.005

zbMATH Keywords

Gaussian mixturewhite noisenon-Gaussiannoninvertible moving average

Mathematics Subject Classification ID

Related Items (26)

Autoregression-based estimation of the New Keynesian Phillips curve ⋮ On causal and non‐causal cointegrated vector autoregressive time series ⋮ Testing for a Unit Root in Noncausal Autoregressive Models ⋮ Noncausal vector autoregressive process: representation, identification and semi-parametric estimation ⋮ Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models ⋮ Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance ⋮ Diagnostic tests for non-causal time series with infinite variance ⋮ Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ Noncausality and inflation persistence ⋮ Testing linear causality in mean when the number of estimated parameters is high ⋮ Unit roots in moving averages beyond first order ⋮ Testing instantaneous linear Granger causality in presence of nonlinear dynamics ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Unnamed Item ⋮ Estimation of weak ARMA models with regime changes ⋮ Misspecification of noncausal order in autoregressive processes ⋮ Model identification for infinite variance autoregressive processes ⋮ Identification and estimation of non-Gaussian structural vector autoregressions ⋮ Rank-based estimation for all-pass time series models ⋮ Testing the Cointegrating Rank with Uncorrelated but Dependent Errors ⋮ Least absolute deviation estimation for general autoregressive moving average time-series models ⋮ Noncausal vector AR processes with application to economic time series ⋮ NONCAUSAL VECTOR AUTOREGRESSION ⋮ M-estimation for general ARMA Processes with Infinite Variance ⋮ Aspects of non‐causal and non‐invertible CARMA processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A new identification algorithm for allpass systems by higher-order statistics
• Maximum likelihood estimation for noncausal autoregressive processes
• Nonminimum phase non-Gaussian deconvolution
• M-estimation for autoregression with infinite variance
• An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
• Least absolute deviation estimation for all-pass time series models
• Quasi-likelihood Estimation of Non-invertible Moving Average Processes
• On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
• `` Direct Search Solution of Numerical and Statistical Problems
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering

This page was built for publication: Maximum likelihood estimation for all-pass time series models