Statistical inference for ARMA time series with moving average trend

DOI10.1080/10485252.2022.2055756zbMath1493.62179OpenAlexW4220723809MaRDI QIDQ5078827

Zening Song

Publication date: 25 May 2022

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

Full work available at URL: https://doi.org/10.1080/10485252.2022.2055756

zbMATH Keywords

asymptotic normalitymaximum likelihoodlocal linear estimatormoving averageoracle efficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Uses Software

• astsa

Cites Work

• Unnamed Item
• The estimation of the order of an ARMA process
• Time series: theory and methods.
• Nonlinear time series. Nonparametric and parametric methods
• Efficient inference for autoregressive coefficients in the presence of trends
• Time Series Analysis and Its Applications
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
• Least squares estimation in the regression model with autoregressive-moving average errors

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