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

DOI10.1111/JTSA.12296MaRDI QIDQ4640229zbMATH OpenOpenAlexFDO

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

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)

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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.
• A new preliminary estimator for MA(1) models
• Estimating Wold matrices and vector moving average processes
• A simple algorithm to factorize the autocovariance function of moving average process chains

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