Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
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Publication:849863
DOI10.1007/S11203-005-1055-6zbMATH Open1125.62093OpenAlexW1994109378MaRDI QIDQ849863FDOQ849863
Authors: Rajae Azrak, Guy Mélard 
Publication date: 14 November 2006
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13758/1/AMARMA24.pdf
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Cited In (26)
- QMLE of periodic time-varying bilinear– GARCH models
- On conditions in central limit theorems for martingale difference arrays
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- Estimation of weak ARMA models with regime changes
- Contrast estimation of time-varying infinite memory processes
- Estimating ARMA models with recurrent regime changes
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Volatility Estimation When the Zero-Process is Nonstationary
- Large sample properties of parameter least squares estimates for time‐varying arma models
- Asymptotic properties of conditional least-squares estimators for array time series
- On an autoregressive model with time-dependent coefficients
- Asymptotic theory for time series with changing mean and variance
- Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models
- Asymptotic influence of mean-correction on estimating a periodic AR(1) model.
- QML estimators in linear regression models with functional coefficient autoregressive processes
- Non-parametric estimation of time varying AR(1)-processes with local stationarity and periodicity
- Asset pricing with flexible beliefs
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- General estimation results for \textsc{tdVARMA} array models
- Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
- Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model
- Asymptotic properties of high-order Yule-Walker estimates of the AR parameters of an ARMA time series
- Norming rates and limit theory for some time-varying coefficient autoregressions
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