scientific article; zbMATH DE number 897212

MaRDI QIDQ4884610zbMATH OpenFDO

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

Publication date 8 October 1996

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)

Recommendations

• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE‐TIME SQUARE‐ROOT PROCESS
• Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
• Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
• Asymptotic inference in regression models with autoregressive errors having roots on the unit circle
• Inference for regression models with errors from a non-invertible MA(1) process

Cited in

(9)

• Inference for regression models with errors from a non-invertible MA(1) process
• 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
• Unit roots in moving averages beyond first order
• Fitting MA(\(q\)) models in the closed invertible region
• 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

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