Parametric estimators for stationary time series with missing observations

DOI10.2307/1426471zbMath0461.62075OpenAlexW2043543552MaRDI QIDQ3911246

William T. M. Dunsmuir, Peter M. Robinson

Publication date: 1981

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1426471

zbMATH Keywords

asymptotic normalityasymptotic efficiencymissing observationsspectral densitystrong consistencyARMA modelsstationary time seriesparametric estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

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 ⋮ Tests of periodicity with missing observations ⋮ Estimation on unevenly spaced time series ⋮ Least squares estimation of ARCH models with missing observations ⋮ Estimacion de registros desconocidos en series de datos ⋮ Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones ⋮ Unnamed Item

This page was built for publication: Parametric estimators for stationary time series with missing observations