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Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series

Citations

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Cited by:

  1. Sheena Yu-Hsien Kao & Anil K. Bera, 2018. "Testing spatial regression models under nonregular conditions," Empirical Economics, Springer, vol. 55(1), pages 85-111, August.
  2. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
  3. Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," Discussion Papers 12-17, University of Copenhagen. Department of Economics.
  4. Zacharias Psaradakis & Marián Vávra, 2019. "Portmanteau tests for linearity of stationary time series," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
  5. Huang, Lei & Jiang, Hui & Wang, Huixia, 2019. "A novel partial-linear single-index model for time series data," Computational Statistics & Data Analysis, Elsevier, vol. 134(C), pages 110-122.
  6. Dimitriou-Fakalou, Chrysoula, 2009. "Modified Gaussian likelihood estimators for ARMA models on," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4149-4175, December.
  7. Tianhao Wang & Yingcun Xia, 2015. "Whittle Likelihood Estimation of Nonlinear Autoregressive Models With Moving Average Residuals," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(511), pages 1083-1099, September.
  8. Guy Melard, 2020. "An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators," Working Papers ECARES 2020-10, ULB -- Universite Libre de Bruxelles.
  9. Peter M Robinson, 2011. "Inference on Power Law Spatial Trends (Running Title: Power Law Trends)," STICERD - Econometrics Paper Series 556, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  10. Tingjin Chu & Jialuo Liu & Jun Zhu & Haonan Wang, 2022. "Spatio-Temporal Expanding Distance Asymptotic Framework for Locally Stationary Processes," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 689-713, August.
  11. Moon, Seongman & Velasco, Carlos, 2013. "Tests for m-dependence based on sample splitting methods," Journal of Econometrics, Elsevier, vol. 173(2), pages 143-159.
  12. Yang, Yaxing & Ling, Shiqing & Wang, Qiying, 2022. "Consistency of global LSE for MA(1) models," Statistics & Probability Letters, Elsevier, vol. 182(C).
  13. Norkutė, Milda & Westerlund, Joakim, 2019. "The factor analytical method for interactive effects dynamic panel models with moving average errors," Econometrics and Statistics, Elsevier, vol. 11(C), pages 83-104.
  14. Robinson, Peter M., 2011. "Inference on power law spatial trends (Running Title: Power Law Trends)," LSE Research Online Documents on Economics 58100, London School of Economics and Political Science, LSE Library.
  15. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
  16. Zheng, Tingguo & Xiao, Han & Chen, Rong, 2015. "Generalized ARMA models with martingale difference errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 492-506.
  17. Mélard, Guy, 2022. "An indirect proof for the asymptotic properties of VARMA model estimators," Econometrics and Statistics, Elsevier, vol. 21(C), pages 96-111.
  18. Zheng, Tingguo & Chen, Rong, 2017. "Dirichlet ARMA models for compositional time series," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 31-46.
  19. Robinson, P.M., 2011. "Asymptotic theory for nonparametric regression with spatial data," Journal of Econometrics, Elsevier, vol. 165(1), pages 5-19.
  20. Abdelouahab Bibi & Karima Kimouche, 2014. "On stationarity and second-order properties of bilinear random fields," Statistical Inference for Stochastic Processes, Springer, vol. 17(3), pages 221-244, October.
  21. Bastian Schäfer, 2021. "Bandwidth selection for the Local Polynomial Double Conditional Smoothing under Spatial ARMA Errors," Working Papers CIE 146, Paderborn University, CIE Center for International Economics.
  22. Ke Zhu & Shiqing Ling, 2015. "LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
  23. Dimitriou-Fakalou, Chrysoula, 2019. "On accepting the edge-effect (for the inference of ARMA-type processes in Z2)," Econometrics and Statistics, Elsevier, vol. 10(C), pages 53-70.
  24. repec:esx:essedp:767 is not listed on IDEAS
  25. Rosa Espejo & Nikolai Leonenko & Andriy Olenko & María Ruiz-Medina, 2015. "On a class of minimum contrast estimators for Gegenbauer random fields," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 657-680, December.
  26. Yong Bao, 2018. "The asymptotic covariance matrix of the QMLE in ARMA models," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 309-324, April.
  27. Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
  28. Angela Ferretti & L. Ippoliti & P. Valentini & R. J. Bhansali, 2023. "Long memory conditional random fields on regular lattices," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.
  29. Qin Shao & Lijian Yang, 2017. "Oracally efficient estimation and consistent model selection for auto-regressive moving average time series with trend," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 507-524, March.
  30. Hernández Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," Working Papers 2016-03, Banco de México.
  31. Hernández, Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," MPRA Paper 100857, University Library of Munich, Germany.
  32. Abdelkamel Alj & Rajae Azrak & Christophe Ley & Guy Mélard, 2017. "Asymptotic Properties of QML Estimators for VARMA Models with Time-dependent Coefficients," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(3), pages 617-635, September.
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