The Misspecification of Arma Models

DOI10.1111/J.1467-9574.1989.TB01265.XMaRDI QIDQ3201451zbMATH OpenOpenAlexFDO

Authors D. Stephen G. Pollock

Publication date 1989

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1989.tb01265.x

zbMATH Keywords

signal processingmultiple solutionsleast-squares estimatesspectral density functionsprobability limits

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Regression Models with Time Series Errors
• ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• scientific article; zbMATH DE number 223230
• The consequences of misspecification in time series processes

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Estimation and information in stationary time series
• Local Asymptotic Specification Error Analysis
• On the Criteria Functions used for the Estimation of Moving Average Processes
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• The asymptotic theory of linear time-series models

Cited in

(11)

• Properties of Predictors in Misspecified Autoregressive Time Series Models
• ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
• scientific article; zbMATH DE number 1192393 (Why is no real title available?)
• ARMA MODELS WITH ARCH ERRORS
• Comment on: Fitting ARMA time series by structural equation models
• A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles
• scientific article; zbMATH DE number 3976906 (Why is no real title available?)
• Fitting Models to Spectra Using Regression Packages
• Regression Models with Time Series Errors
• The sampling distributions of the predictor for an autoregressive model under misspecifications
• Dynamics of Model Overfitting Measured in terms of Autoregressive Roots

This page was built for publication: The Misspecification of Arma Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3201451)