Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
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Publication:1750279
DOI10.1214/17-AOS1560zbMath1401.62178OpenAlexW2795477385MaRDI QIDQ1750279
Ignacio N. Lobato, Carlos Velasco
Publication date: 18 May 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/17-aos1560
higher-order spectrahigher-order momentsautoregressive moving average modelnonminimum phaseWhittle estimateminimum distance inference
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (7)
Efficient GMM estimation with singular system of moment conditions ⋮ Specification testing with estimated variables ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ Generalized Covariance Estimator ⋮ Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models ⋮ Efficiency improvements for minimum distance estimation of causal and invertible ARMA models ⋮ Estimation of time series models using residuals dependence measures
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