Testing for Equal Predictability of Stationary ARMA Processes

DOI10.1080/02664760701592158MaRDI QIDQ5123345zbMATH OpenOpenAlexFDO

Authors Edoardo Otrano, Umberto Triacca

Publication date 28 September 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760701592158

zbMATH Keywords

forecastsGARCH modelsparallelismWold decomposition

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• Estimating the dimension of a model
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Regression Models with Time Series Errors
• The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models
• Time series: theory and methods.

Cited in

(4)

• Clustering heteroskedastic time series by model-based procedures
• Identifying financial time series with similar dynamic conditional correlation
• Spectral decomposition of the AR metric
• Measure of predictability of a stationary two dimensionally indexed autoregressive moving-average models

Describes a project that uses

Uses Software

• TRAMO

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