Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA‐Sieve Bootstrap

DOI10.1111/JTSA.12296zbMath1416.62511OpenAlexW2790494485MaRDI QIDQ4640229

Timothy L. McMurry, Dimitris N. Politis

Publication date: 16 May 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12296

zbMATH Keywords

ARMA modelssieve bootstrapWold representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Estimating wold matrices and vector moving average processes ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models ⋮ Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models

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