scientific article; zbMATH DE number 897212

zbMATH Open0847.62075MaRDI QIDQ4884610FDOQ4884610

Authors: Richard A. Davis, Meiching Chen, William T. M. Dunsmuir 

Publication date: 8 October 1996

Title of this publication is not available (Why is that?)

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• Inference for regression models with errors from a non-invertible MA(1) process

zbMATH Keywords

maximum likelihood estimationgeneralized likelihood ratio testunit circlemoving averagepower comparisonsunit root hypothesisMA(1) processeslargest local maximizer

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (9)

• A likelihood ratio type test for invertibility in moving average processes
• Improved likelihood-based inference for the \(MA(1)\) model
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Fitting MA(\(q\)) models in the closed invertible region
• Unit roots in moving averages beyond first order
• Extensions of saddlepoint-based bootstrap inference
• Functional convergence of stochastic integrals with application to statistical inference
• Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
• Inference for regression models with errors from a non-invertible MA(1) process

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