Estimation for periodic ARMA models with unspecified noises

DOI10.1080/03610926.2018.1473597OpenAlexW2921142178WikidataQ128220058 ScholiaQ128220058MaRDI QIDQ5866042

Baoguo Pan

Publication date: 10 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1473597

zbMATH Keywords

asymptotic normalityWLADEPARMArandom weighting approach

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Asymptotic inference of unstable periodic ARCH processes
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
• M-estimation for autoregression with infinite variance
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Weighted least absolute deviations estimation for periodic ARMA models
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models
• Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

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