Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases

DOI10.1007/s10463-006-0074-4zbMath1133.62352OpenAlexW2051295933MaRDI QIDQ2477005

D. S. Poskitt

Publication date: 12 March 2008

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0074-4

zbMATH Keywords

AutoregressionOrder selectionAsymptotic efficiencyFractional processNon-invertibility

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Uses Software

• KernSmooth

Cites Work

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