ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS

DOI10.1111/j.1467-9892.1993.tb00128.xzbMath0778.62082OpenAlexW1970985804MaRDI QIDQ4696578

Da-Wen Huang, V. V. Anh

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00128.x

zbMATH Keywords

white noisesimulation studybackward shift operatorleast squares estimationrecursive estimationsmall sample sizesARUMA processbackward least squares estimationeigenvector estimatornonstationary factor

Mathematics Subject Classification ID

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

Related Items (1)

On some classes of nonstationary parametric processes

Cites Work

• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• A new autoregressive spectrum analysis algorithm
• Fast Approximation of Dominant Harmonics
• On the maximal entropy property for ARMA processes and ARMA approximation

This page was built for publication: ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS