The first-order moving average process. Identification, estimation and prediction

DOI10.1016/0304-4076(74)90035-9zbMath0299.62052OpenAlexW1518594582MaRDI QIDQ1215237

Charles R. Nelson

Publication date: 1974

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90035-9

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

A new preliminary estimator for MA(1) models ⋮ ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS ⋮ Finite sample properties of estimators for autoregressive moving average models ⋮ New exact ML estimation and inference for a Gaussian \(MA(1)\) process ⋮ Problems with the estimation of moving average processes ⋮ Gains in efficiency from joint estimation of systems of autoregressive- moving average processes ⋮ Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results ⋮ A Monte Carlo study of autoregressive integrated moving average processes ⋮ A mixed time-series/econometric approach to forecasting peak system load ⋮ Hypothesis testing based on goodness-of-fit in the moving average time series model ⋮ Estimation of a non-invertible moving average process: the case of overdifferencing ⋮ Bayesian subset selection for additive and linear loss function ⋮ A recursive approach to parameter estimation in regression and time series models

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