Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
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Publication:1805794
DOI10.1016/S0304-4149(98)00039-8zbMath0926.62078OpenAlexW2140856578MaRDI QIDQ1805794
Richard A. Davis, Thomas Mikosch
Publication date: 18 November 1999
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00039-8
maximum likelihood estimationunit rootmoving average processstable distributionnon-invertible process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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