Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models

DOI10.1111/JTSA.12253MaRDI QIDQ4640219zbMATH OpenOpenAlexFDO

Authors

Publication date 16 May 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12253

zbMATH Keywords

ARMAlog-concavenon-causal/non-invertiblesemiparametric

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Noncausal vector AR processes with application to economic time series
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• Aspects of non-causal and non-invertible CARMA processes
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• Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
• A bootstrap-based approach for parameter and polyspectral density estimation of a non-minimum phase ARMA process

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