On some simple, autoregression-based estimation and identification techniques for ARMA models

DOI10.1093/biomet/84.3.685zbMath0888.62090OpenAlexW1975678857MaRDI QIDQ4364935

Victoria Zinde-Walsh, John W. Galbraith

Publication date: 1997

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/84.3.685

zbMATH Keywords

identificationdeterminantARMA modelsautoregression

Mathematics Subject Classification ID

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

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Endogenous thresholds and tests for asymmetry in US prime rate movements ⋮ Wald tests of singular hypotheses ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ Minimum distance estimation of stationary and non‐stationary ARFIMA processes ⋮ ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION ⋮ Indirect estimation of ARFIMA and VARFIMA models ⋮ GARCH Model Estimation Using Estimated Quadratic Variation ⋮ Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes

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