Semi-Parametric Estimation for Non-Gaussian Non-Minimum Phase ARMA Models

Davis, RA; Zhang, J

Davis, RA (reprint author), Columbia Univ, Dept Stat, 1255 Amsterdam Ave,Room 1004 SSW, New York, NY 10027 USA.

JOURNAL OF TIME SERIES ANALYSIS, 2018; 39 (3): 251

Abstract

We consider inference for the parameters of general autoregressive moving average (ARMA) models which are possibly non-causal/non-invertible (also ref......

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