The estimation of a nonlinear moving average model

DOI10.1016/0304-4149(77)90052-7zbMath0357.62072OpenAlexW2025936568MaRDI QIDQ1238201

Peter M. Robinson

Publication date: 1977

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

Full work available at URL: https://doi.org/10.1016/0304-4149(77)90052-7

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Related Items (16)

Estimation in nonlinear time series models ⋮ A Statistical Method for the Determination of the Appropriate Order in a General Class of Time Series Models ⋮ ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM ⋮ Unnamed Item ⋮ On moving-average models with feedback ⋮ A note on moving‐average models with feedback ⋮ NONPARAMETRIC ESTIMATORS FOR TIME SERIES ⋮ A note on the invertibility of nonlinear ARMA models ⋮ On the invertibility of time series models ⋮ A new method to mitigate data fluctuations for time series prediction ⋮ Unnamed Item ⋮ A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES ⋮ On nonlinear models for time series ⋮ A nonparametric goodness-of-fit test for a class of parametric autoregressive models ⋮ Nonlinear time series with long memory: A model for stochastic volatility ⋮ Analysis of drawdowns and drawups in the US$ interest-rate market

Cites Work

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• Martingale Central Limit Theorems
• On the $L_p$-Convergence for $n^{-1/p} S_n, 0 < p < 2^1$
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• The asymptotic theory of linear time-series models

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