ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING

DOI10.1111/j.1467-9892.1989.tb00025.xzbMath0712.62086MaRDI QIDQ3197165

R. J. Bhansali

Publication date: 1989

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1989.tb00025.x

zbMATH Keywords

asymptotic normality; time series; bias; stationary process; ARMA process; linear innovations; autoregressive model fitting; autoregressive moving-average process; inverting the autoregressive transfer function; moving-average representation; recursive order determination

Mathematics Subject Classification ID

62G07: Density estimation

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

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

Related Items

Determining the order of an arm a model from outlier contaminated data, Autoregressive model selection for multistep prediction, Moving-average representation of autoregressive approximations

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