Consistency of global LSE for MA(1) models

DOI10.1016/j.spl.2021.109292zbMath1478.62272OpenAlexW3213070170MaRDI QIDQ2070587

Shiqing Ling, Yaxing Yang, Qiying Wang

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109292

zbMATH Keywords

LSEconsistencyMA model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

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• STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
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• LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
• The Discounted Central Limit Theorem and its Berry-Esseen Analogue
• The asymptotic theory of linear time-series models

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