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Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients

Citations

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Cited by:

  1. Mélard, Guy, 2022. "An indirect proof for the asymptotic properties of VARMA model estimators," Econometrics and Statistics, Elsevier, vol. 21(C), pages 96-111.
  2. Rajae Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.
  3. Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
  4. 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.
  5. Alj, Abdelkamel & Jónasson, Kristján & Mélard, Guy, 2016. "The exact Gaussian likelihood estimation of time-dependent VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 633-644.
  6. Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
  7. Quentin Giai Gianetto & Hamdi Raïssi, 2015. "Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 46-53, January.
  8. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
  9. Rajae Azrak & Guy Mélard, 2021. "Asymptotic properties of conditional least-squares estimators for array time series," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 525-547, October.
  10. Mélard, Guy, 2025. "The information matrix of time-dependent models for vector time series," Statistics & Probability Letters, Elsevier, vol. 226(C).
  11. Axioglou Christos & Skouras Spyros, 2015. "Asset pricing with flexible beliefs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 415-443, September.
  12. Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
  13. Nazim Regnard & Jean‐Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
  14. Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
  15. repec:dau:papers:123456789/2285 is not listed on IDEAS
  16. Guy Mélard, 2025. "Estimator’s Properties of Specific Time-Dependent Multivariate Time Series," Mathematics, MDPI, vol. 13(7), pages 1-23, March.
  17. Xinyang Wang & Dehui Wang & Kai Yang, 2021. "Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 713-750, July.
  18. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Magdalinos, Tassos & Canepa, Alessandra, 2026. "A Unified Theory For Arma Models With Varying Coefficients: One Solution Fits All," Econometric Theory, Cambridge University Press, vol. 42(1), pages 192-245, February.
  19. Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2024. "Unbounded heteroscedasticity in autoregressive models," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
  20. Alj, Abdelkamel & Azrak, Rajae & Mélard, Guy, 2014. "On conditions in central limit theorems for martingale difference arrays," Economics Letters, Elsevier, vol. 123(3), pages 305-307.
  21. Bardet, Jean-Marc & Doukhan, Paul & Wintenberger, Olivier, 2022. "Contrast estimation of time-varying infinite memory processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 32-85.
  22. Han Li & Kai Yang & Dehui Wang, 2017. "Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes," Computational Statistics, Springer, vol. 32(4), pages 1597-1620, December.
  23. Abdelkamel Alj & Rajae Azrak & Christophe Ley & Guy Melard, 2016. "Technical Appendix to Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients," Working Papers ECARES ECARES 2016-42, ULB -- Universite Libre de Bruxelles.
  24. Regnard, Nazim & Zakoïan, Jean-Michel, 2011. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, vol. 33(6), pages 1240-1251.
  25. repec:dau:papers:123456789/2603 is not listed on IDEAS
  26. Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014. "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES ECARES 2014-05, ULB -- Universite Libre de Bruxelles.
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