WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

DOI10.1111/j.1467-9892.1986.tb00492.xzbMath0609.62122OpenAlexW2094184493MaRDI QIDQ3749987

T. W. Anderson, Akimichi Takemura

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00492.x

zbMATH Keywords

lower boundmoving average processlikelihood functionglobal maximumautoregressive moving average modelsMaximum likelihood estimateslocal maximumnoninvertible moving average

Mathematics Subject Classification ID

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

Related Items (18)

Robust estimation in time series ⋮ Residual variance estimation in moving average models ⋮ Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models ⋮ A new preliminary estimator for MA(1) models ⋮ Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1) ⋮ New exact ML estimation and inference for a Gaussian \(MA(1)\) process ⋮ Expected number of zeros of random power series with finitely dependent Gaussian coefficients ⋮ Comparing estimation methods of non-stationary errors-in-variables models ⋮ Local bandwidth selection via second derivative segmentation ⋮ Unit roots in moving averages beyond first order ⋮ Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1) ⋮ Inference for regression models with errors from a non-invertible MA(1) process ⋮ On the criterion function for ARMA estimation ⋮ A note on maximum likelihood estimation in the first-order Gaussian moving average model ⋮ Extensions of saddlepoint-based bootstrap inference ⋮ Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise ⋮ Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models ⋮ Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.

Cites Work

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• Problems with the estimation of moving average processes
• A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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