scientific article; zbMATH DE number 897115

Publication date 7 July 1996

parameter estimation time series ARMA processes multivariate models periodogram martingale differences central limit theorems nonstationary time series large sample theory state space representations empirical model identification new tests for unit roots nonliner estimation

Mathematics Subject Classification ID

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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On modelling and diagnostic checking of vector periodic autoregressive time series models
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Fitting time series models for longitudinal survey data under informative sampling
Statistical portfolio estimation under the utility function depending on exogenous variables
Asymptotics for moving average processes with dependent innovations
A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
An efficient algorithm for estimating the parameters of superimposed exponential signals in multiplicative and additive noise
Equivalent sample sizes in time series regressions
Bayesian inference in a stochastic volatility Nelson-Siegel model
Pfriodograms of unit root time series: distributions and tests
Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible \(\mathrm{ARMA}(p,q)\) model
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A consistent test for multivariate conditional distributions
Stochastic algorithms for solving structured low-rank matrix approximation problems
A small sample confidence interval for autoregressive parameters
A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES
Tests against stationary and explosive alternatives in vector autoregressive models
Limiting mixture distributions for AR(1) model indexed by a branching process
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Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
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Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
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Censored time series analysis with autoregressive moving average models
Testing for a unit root with nonstationary nonlinear heteroskedasticity
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Complex dynamics of a forced discretized version of the Mackey-Glass delay differential equation
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Time series regression with persistent level shifts
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Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
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TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
Semiparametric unit root tests based on symmetric estimators
Efficient tests for unit roots with prediction errors
Tapered block bootstrap for unit root testing
Normalizations for periodogram-based unit root tests.
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Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
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Second-order minimax estimation of the mean value for exponential dispersion models
Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
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