Nonminimum phase non-Gaussian autoregressive processes.

DOI10.1073/pnas.87.1.179zbMath0686.62068OpenAlexW2109484508WikidataQ37661106 ScholiaQ37661106MaRDI QIDQ4204972

Richard A. Davis, Murray Rosenblatt, F. Jay Breidt, Keh-Shin Lii

Publication date: 1990

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.87.1.179

zbMATH Keywords

asymptotic normalitypositivitymaximum likelihoodsmoothnessnoncausalnon-Gaussian autoregressive schemesAsymptotically efficient methodsnonminimum phase models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Diagnostic tests for non-causal time series with infinite variance

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