The Misspecification of Arma Models
DOI10.1111/J.1467-9574.1989.TB01265.XzbMATH Open0715.62176OpenAlexW1976628439MaRDI QIDQ3201451FDOQ3201451
Authors: D. Stephen G. Pollock 
Publication date: 1989
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9574.1989.tb01265.x
Recommendations
- Regression Models with Time Series Errors
- ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
- ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
- scientific article; zbMATH DE number 223230
- The consequences of misspecification in time series processes
signal processingmultiple solutionsleast-squares estimatesspectral density functionsprobability limits
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Title not available (Why is that?)
- Local Asymptotic Specification Error Analysis
- The asymptotic theory of linear time-series models
- Estimation and information in stationary time series
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
- On the Criteria Functions used for the Estimation of Moving Average Processes
Cited In (11)
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
- Title not available (Why is that?)
- ARMA MODELS WITH ARCH ERRORS
- A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles
- Comment on: Fitting ARMA time series by structural equation models
- Title not available (Why is that?)
- Fitting Models to Spectra Using Regression Packages
- Regression Models with Time Series Errors
- Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
- The sampling distributions of the predictor for an autoregressive model under misspecifications
This page was built for publication: The Misspecification of Arma Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3201451)
