Estimation for autoregressive moving average models in the time and frequency domains
From MaRDI portal
Publication:1242636
DOI10.1214/aos/1176343942zbMath0368.62075OpenAlexW2070412455WikidataQ100560789 ScholiaQ100560789MaRDI QIDQ1242636
Publication date: 1977
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176343942
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)
Related Items (17)
NON-SINGULARITY OF FISHER INFORMATION FOR AUTOREGRESSIVE MOYING-AVERAGE PROCESSES ⋮ Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models ⋮ Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function ⋮ ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS ⋮ VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES ⋮ ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION ⋮ Unnamed Item ⋮ Parameter estimation of an autoregressive moving average model ⋮ Identification of stochastic linear systems in presence of input noise ⋮ Model averaging prediction for time series models with a diverging number of parameters ⋮ On the efficiency of procedures for estimation of parameters in Arima models ⋮ Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results ⋮ SPECTRAL RATIO DISCRIMINANTS AND INFORMATION THEORY ⋮ ARMA spectral estimation based on partial autocorrelations ⋮ THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS ⋮ Local asymptotic normality for multivariate linear processes ⋮ Model averaging multistep prediction in an infinite order autoregressive process
This page was built for publication: Estimation for autoregressive moving average models in the time and frequency domains
