Estimation of weak ARMA models with regime changes
Author:
Funder
Projet Région grant
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11203-019-09202-3.pdf
Reference49 articles.
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2. Anderson PL, Meerschaert MM (1997) Periodic moving averages of random variables with regularly varying tails. Ann Statist 25(2):771–785
3. Andrews DWK (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59(3):817–858
4. Andrews B, Davis RA, Breidt FJ (2006) Maximum likelihood estimation for all-pass time series models. J Multivariate Anal 97(7):1638–1659
5. Azrak R, Mélard G (1998) The exact quasi-likelihood of time-dependent ARMA models. J Statist Plann Inference 68(1):31–45
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