Two step estimators of the minimum distance type for parameters of the \(\mathrm{ARMA}(1,1)\) model

DOI10.3103/S0027132210060070zbMath1304.62113OpenAlexW2125512661MaRDI QIDQ2513181

I. G. Erlikh

Publication date: 2 February 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132210060070

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

Cites Work

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• Minimum distance estimates in the ARCH model
• Time series: theory and methods
• Influence functionals for time series (with discussion)
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• Estimation by the Minimum Distance Method in Nonparametric Stochastic Difference Equations

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