Covariance matrix estimation for estimators of mixing weak ARMA models

DOI10.1016/S0378-3758(99)00109-3zbMath0976.62086OpenAlexW2013276778MaRDI QIDQ1970859

Christian Francq, Jean-Michel Zakoian

Publication date: 8 January 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(99)00109-3

zbMATH Keywords

consistencynonlinear modelsleast-squares estimatorARMA modelssecond-order stationary processesrobust covariance matrix estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Uses Software

• AS 197

Cites Work

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