A likelihood ratio type test for invertibility in moving average processes

DOI10.1016/j.csda.2014.02.025zbMath1506.62101OpenAlexW2091820971MaRDI QIDQ1623545

Rolf Larsson

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.02.025

zbMATH Keywords

likelihood ratio testinvertibilitymoving average process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (2)

Testing for INAR effects ⋮ Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

Cites Work

• Unnamed Item
• Unit roots in moving averages beyond first order
• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Time Series Regression with a Unit Root
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)

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