On model Fitting and estimation of strictly stationary processes

DOI10.15559/17-VMSTA91zbMath1382.60062arXiv1708.07446OpenAlexW2750003034MaRDI QIDQ1697205

Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen

Publication date: 15 February 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.07446

zbMATH Keywords

estimationconsistencyasymptotic normalitystrictly stationary processesAR(1) representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Related Items (3)

AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation ⋮ On the ARCH model with stationary liquidity ⋮ Note on AR(1)-characterisation of stationary processes and model fitting

Cites Work

• Unnamed Item
• Unnamed Item
• Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
• Sample autocovariances of long-memory time series
• Limit theory for the sample covariance and correlation functions of moving averages
• The estimation of the order of an ARMA process
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Parameter estimation for ARMA models with infinite variance innovations
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Portmanteau tests for ARMA models with infinite variance
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Semi-Stable Stochastic Processes
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
• Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series
• The asymptotic theory of linear time-series models
• Diagnostic Checking in ARMA Models With Uncorrelated Errors

This page was built for publication: On model Fitting and estimation of strictly stationary processes