Non-Gaussian autoregressive moving average processes.

DOI10.1073/PNAS.90.19.9168zbMath0779.62076OpenAlexW1991387996WikidataQ36576259 ScholiaQ36576259MaRDI QIDQ3143034

Keh-Shin Lii, Murray Rosenblatt

Publication date: 20 December 1993

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC47523

zbMATH Keywords

asymptotic normalitypositivitymaximum likelihoodsmoothnessARMA processesasymptotically efficient methodsnon-Gaussian stationary autoregressive moving average sequencesnonminimum-phase models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

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