Quasi-likelihood estimation of non-invertible moving average process

DOI10.1111/1467-9469.00216zbMATH Open0964.62091OpenAlexW2054082247MaRDI QIDQ2711684FDOQ2711684

Y. Pawitan, Jian Huang

Publication date: 25 April 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00216

zbMATH Keywords

consistencyquasi-likelihood estimationnon-invertible moving average

Mathematics Subject Classification ID

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

Cited In (10)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Testing for a Unit Root in Noncausal Autoregressive Models
• Rank-based estimation for all-pass time series models
• Estimation bias and feasible conditional forecasts from the first-order moving average model
• An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
• M-estimation for general ARMA processes with infinite variance
• Maximum likelihood estimation for all-pass time series models
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• Least absolute deviation estimation for general autoregressive moving average time-series models
• Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models

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