Asymptotic distribution of residual autocorrelations from estimation of ARMA processes by Gram-Schmidt orthogonalization

DOI10.1016/0304-4149(81)90005-3zbMath0464.62019OpenAlexW2066087689MaRDI QIDQ1154190

Craig F. Ansley

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1016/0304-4149(81)90005-3

zbMATH Keywords

maximum likelihood estimationGram-Schmidt orthogonalizationautoregressive-moving average modelsresidual autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
• Finite sample properties of estimators for autoregressive moving average models
• On a General Concept of "In Probability"
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Least squares estimation in the regression model with autoregressive-moving average errors
• The asymptotic theory of linear time-series models

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