Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
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Publication:849863
DOI10.1007/s11203-005-1055-6zbMath1125.62093MaRDI QIDQ849863
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
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Asymptotic influence of mean-correction on estimating a periodic AR(1) model., Estimating ARMA models with recurrent regime changes, Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model
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Cites Work
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