Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap

DOI10.1111/JTSA.12296zbMATH Open1416.62511OpenAlexW2790494485MaRDI QIDQ4640229FDOQ4640229

Authors: Timothy L. McMurry, Dimitris Politis 

Publication date: 16 May 2018

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

Full work available at URL: https://doi.org/10.1111/jtsa.12296

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zbMATH Keywords

ARMA modelssieve bootstrapWold representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cited In (6)

• On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models
• Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
• MA estimation in polynomial time.
• Estimating Wold matrices and vector moving average processes
• A new preliminary estimator for MA(1) models
• A simple algorithm to factorize the autocovariance function of moving average process chains

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