A note on the properties of some nonstationary ARMA processes

DOI10.1016/0304-4149(87)90035-4zbMath0611.62110OpenAlexW1988133385MaRDI QIDQ1087288

M. Shelton Peiris, Neeta Singh

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90035-4

zbMATH Keywords

covariance structureARMAlinear predictorsnonstationary autoregressive-moving average

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ On a characterization of optimal predictors for nonstationary ARMA processes ⋮ An optimal prediction in general ARMA models ⋮ Estimation for regression with infinite variance errors

Cites Work

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