Parametric estimators for stationary time series with missing observations
From MaRDI portal
Publication:3911246
DOI10.2307/1426471zbMath0461.62075MaRDI QIDQ3911246
William T. M. Dunsmuir, Peter M. Robinson
Publication date: 1981
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1426471
asymptotic normality; asymptotic efficiency; missing observations; spectral density; strong consistency; ARMA models; stationary time series; parametric estimators
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
Related Items
Tests of periodicity with missing observations, Unnamed Item, Least squares estimation of ARCH models with missing observations, Estimation on unevenly spaced time series, Asymptotic theory of parameter estimation by a contrast function based on interpolation error, Correlation testing in time series, spatial and cross-sectional data, Matrix representations of spectral coefficients of randomly sampled ARMA models, Estimacion de registros desconocidos en series de datos, Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones