ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES

DOI10.1111/j.1467-9892.1996.tb00261.xzbMath0835.62077OpenAlexW2141281200MaRDI QIDQ4870527

Ruey S. Tsay, Ngai Hang Chan

Publication date: 20 March 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00261.x

zbMATH Keywords

Brownian motionnonstationarityOrnstein-Uhlenbeck processesleast squares estimatesautoregressive moving-average processesfunctionals of stochastic integralsderived processesdifference- stationaritynear non-invertibilitytesting unit rootstrend- stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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