Maximum likelihood estimation for all-pass time series models

DOI10.1016/J.JMVA.2006.01.005MaRDI QIDQ2499083zbMATH OpenOpenAlexFDO

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

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 mixturenon-Gaussiannoninvertible moving averagewhite noise

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• `` Direct Search Solution of Numerical and Statistical Problems
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• An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3755718 (Why is no real title available?)
• scientific article; zbMATH DE number 854948 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Least absolute deviation estimation for all-pass time series models
• M-estimation for autoregression with infinite variance
• Maximum likelihood estimation for noncausal autoregressive processes
• Nonminimum phase non-Gaussian deconvolution
• On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
• Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering
• Quasi-likelihood estimation of non-invertible moving average process
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES

Cited in

(31)

• Misspecification of noncausal order in autoregressive processes
• Least absolute deviation estimation for all-pass time series models
• Testing linear causality in mean when the number of estimated parameters is high
• Estimation of weak ARMA models with regime changes
• Noncausal vector AR processes with application to economic time series
• Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
• Noncausality and inflation persistence
• Maximum likelihood estimation of a latent variable time-series model
• Noncausal vector autoregression
• M-estimation for general ARMA processes with infinite variance
• Least absolute deviation estimation for general autoregressive moving average time-series models
• Autoregression-based estimation of the New Keynesian Phillips curve
• Testing for a unit root in noncausal autoregressive models
• Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
• Diagnostic tests for non-causal time series with infinite variance
• Unit roots in moving averages beyond first order
• scientific article; zbMATH DE number 1758639 (Why is no real title available?)
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
• Aspects of non-causal and non-invertible CARMA processes
• A comparison of parameter estimation methods for the first-order of random coefficient autoregressive model
• On causal and non-causal cointegrated vector autoregressive time series
• Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models
• Model identification for infinite variance autoregressive processes
• Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics
• Spectral estimation for mixed causal-noncausal autoregressive models
• A novel test for the presence of local explosive dynamics
• Identification and estimation of non-Gaussian structural vector autoregressions
• Semi-strong linearity testing in linear models with dependent but uncorrelated errors
• Rank-based estimation for all-pass time series models

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