Quasi-likelihood Estimation of Non-invertible Moving Average Processes

DOI10.1111/1467-9469.00216zbMath0964.62091OpenAlexW2054082247MaRDI QIDQ2711684

Yudi Pawitan, Jian Huang

Publication date: 25 April 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00216

zbMATH Keywords

consistencyquasi-likelihood estimationnon-invertible moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (8)

Testing for a Unit Root in Noncausal Autoregressive Models ⋮ Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models ⋮ Estimation bias and feasible conditional forecasts from the first-order moving average model ⋮ Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models ⋮ Maximum likelihood estimation for all-pass time series models ⋮ Rank-based estimation for all-pass time series models ⋮ Least absolute deviation estimation for general autoregressive moving average time-series models ⋮ M-estimation for general ARMA Processes with Infinite Variance

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