Residual variance estimation in moving average models

DOI10.1080/03610929708832021MaRDI QIDQ4269936zbMATH OpenOpenAlexFDO

Authors Clélia M. C. Toloi, Raúl P. Mentz, Pedro A. Morettin

Publication date 10 November 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929708832021

zbMATH Keywords

biasmaximum likelihoodmethod of momentstime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
• Bias correction in ARMA models
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 49657 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• On the estimation of variance for autoregressive and moving average processes (Corresp.)
• On the Inverse of Some Covariance Matrices of Toeplitz Type
• On the inverse of the covariance matrix for an autoregressive-moving average process
• Robust interval estimation of the innovation variance of an ARMA model
• Time series: theory and methods.
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

Cited in

(8)

• On least-squares estimation of the residual variance in the first-order moving average model.
• Estimation bias and feasible conditional forecasts from the first-order moving average model
• Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model
• Estimating residual variance in random forest regression
• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
• On the estimation of variance for autoregressive and moving average processes (Corresp.)
• scientific article; zbMATH DE number 2060186 (Why is no real title available?)
• scientific article; zbMATH DE number 2060205 (Why is no real title available?)

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