scientific article; zbMATH DE number 897115
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Publication:4884570
zbMATH Open0851.62057MaRDI QIDQ4884570FDOQ4884570
Authors: Wayne A. Fuller 
Publication date: 7 July 1996
Title of this publication is not available (Why is that?)
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parameter estimationtime seriesARMA processesmultivariate modelsperiodogrammartingale differencescentral limit theoremsnonstationary time serieslarge sample theorystate space representationsempirical model identificationnew tests for unit rootsnonliner estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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- Semiparametric unit root tests based on symmetric estimators
- Testing spatial dependence in spatial models with endogenous weights matrices
- Size and power properties of powerful unit root tests in the presence of variance breaks
- Testing for panel unit roots under general cross-sectional dependence
- Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
- Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
- Explosive strong periodic autoregression with multiplicity one
- The impact of fat-tailed distributions on some leading unit roots tests
- Efficient tests for unit roots with prediction errors
- Normalizations for periodogram-based unit root tests.
- On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
- The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
- Second-order minimax estimation of the mean value for exponential dispersion models
- On the sample path properties of mixed Poisson processes
- On the relationship between the theory of cointegration and the theory of phase synchronization
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Finite-sample properties of modified unit root tests in the presence of structural change.
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Functional approach to the asymptotic normality of the nonlinear least squares estimator
- Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
- On least-squares estimation of the residual variance in the first-order moving average model.
- A test sensitive to extreme hidden periodicities
- Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- Harmonically Weighted Processes
- High dimensional efficiency with applications to change point tests
- Quality control of wastewater treatment: A new approach
- A computationally efficient algorithm to estimate the parameters of a two-dimensional chirp model with the product term
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Consistency properties for the estimators of partially linear regression model under dependent errors
- Analysis of stock market data by using dynamic Fourier and wavelets techniques
- Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
- Highly efficient weighted for autoregression wilcoxon estimes for autoregression
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- TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
- Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
- Stable and generalized-\(t\) distributions and applications
- Tests for non-correlation of two cointegrated ARMA time series
- On least absolute deviation estimators for one-dimensional chirp model
- Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
- Tapered block bootstrap for unit root testing
- On augmented HEGY tests for seasonal unit roots
- Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
- Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
- Lag optimisation and finite-sample size distortion of unit root tests
- Lag length selection for unit root tests in the presence of nonstationary volatility
- A frequentist approach to Bayesian asymptotics
- Residual variance estimation in moving average models
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- A sequential procedure for testing the existence of a random walk model in finite samples
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- Mildly explosive autoregression with mixing innovations
- A likelihood based estimator for vector autoregressive processes
- An efficient algorithm for estimating the parameters of superimposed exponential signals in multiplicative and additive noise
- Tests against stationary and explosive alternatives in vector autoregressive models
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- On the correlations of trend-cycle errors
- On modelling and diagnostic checking of vector periodic autoregressive time series models
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
- Autoregressive distributed lag models and cointegration
- Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible \(\mathrm{ARMA}(p,q)\) model
- Parametric covariance models for shock-induced stochastic processes
- On multiplicative seasonal modelling for vector time series
- A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- Local polynomial Whittle estimation of perturbed fractional processes
- Model and variable selection procedures for semiparametric time series regression
- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
- Andrews plots for multivariate data: Some new suggestions and applications
- Nonlinear least squares estimation of the periodic EXPAR(1) model
- Pfriodograms of unit root time series: distributions and tests
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Simple linear regression with multiple level shifts
- A linear regression model with persistent level shifts: an alternative to infill asymptotics
- Statistical portfolio estimation under the utility function depending on exogenous variables
- Equivalent sample sizes in time series regressions
- QML estimators in linear regression models with functional coefficient autoregressive processes
- Limiting mixture distributions for AR(1) model indexed by a branching process
- Semiparametric estimation for partially linear models with \(\psi\)-weak dependent errors
- The effect of cluster sampling on the covariance and correlation matrices of sample distribution functions
- A note on monitoring time-varying parameters in an autoregression
- Modeling and large sample estimation for multi-casting autoregression
- Time series regression with persistent level shifts
- Estimation and asymptotic covariance matrix for stochastic volatility models
- Censored time series analysis with autoregressive moving average models
- GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS
- On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
- Non-negatively constrained least squares and parameter choice by the residual periodogram for the inversion of electrochemical impedance spectroscopy data
- Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes
- Complex dynamics of a forced discretized version of the Mackey-Glass delay differential equation
- Testing a Unit Root Based on Aggregate Time Series
- A CHARACTERIZATION OF GENERALIZED PARETO DISTRIBUTIONS BY PROGRESSIVE CENSORING SCHEMES AND GOODNESS-OF-FIT TESTS
- A consistent nonparametric test for linearity of \(\text{AR} (p)\) models
- A consistent test for multivariate conditional distributions
- Consistent testing for non‐correlation of two cointegrated ARMA time series
- Asymptotics for moving average processes with dependent innovations
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
- Non-ergodic martingale estimating functions and related asymptotics
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