Whittle Likelihood Estimation of Nonlinear Autoregressive Models With Moving Average Residuals

DOI10.1080/01621459.2014.946513zbMath1373.62460OpenAlexW2116646110MaRDI QIDQ5367422

Tianhao Wang, Yingcun Xia

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.946513

zbMATH Keywords

spectral analysismoving average processautoregressive modelnonlinear time seriesasymptotic theorylikelihood estimationcorrelated residualsWhittle likelihood estimation (WLE)

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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