Parametric inference in stationary time series models with dependent errors
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Cites work
- scientific article; zbMATH DE number 2174795 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A bootstrap-assisted spectral test of white noise under unknown dependence
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- A limit theory for long-range dependence and statistical inference on related models
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- An exponential model for the spectrum of a scalar time series
- Confidence intervals for spectral mean and ratio statistics
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Limiting behavior of functionals of higher-order sample cumulant spectra
- Nonstationarity-extended Whittle estimation
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On estimation of the integrals of the fourth order cumulant spectral density
- Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
- Self-Normalized Processes
- Testing That a Dependent Process Is Uncorrelated
- The asymptotic theory of linear time-series models
- The jackknife and the bootstrap for general stationary observations
- Time series: theory and methods.
- WHITTLE ESTIMATION OF ARCH MODELS
- Weighted least squares estimators on the frequency domain for the parameters of a time series
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(10)- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Constructing Stationary Time Series Models Using Auxiliary Variables With Applications
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Portmanteau tests for periodic ARMA models with dependent errors
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Inferences about the parameters of a time series model with changing variance
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- Goodness-of-fit tests for SPARMA models with dependent error terms
- Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval
- A general approach to the joint asymptotic analysis of statistics from sub-samples
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