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Frequency domain minimum distance inference for possibly noninvertible and noncausal arma models.

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorVelasco, Carlos
dc.contributor.authorLobato García-Miján, Ignacio
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.contributor.funderComunidad de Madrid
dc.date.accessioned2022-04-01T13:50:14Z
dc.date.available2022-04-01T13:50:14Z
dc.date.issued2018-04-01
dc.description.abstractThis article introduces frequency domain minimum distance procedures for performing inference in general, possibly non causal and/or noninvertible, autoregressive moving average (ARMA) models. We use information from higher order moments to achieve identification on the location of the roots of the AR and MA polynomials for non-Gaussian time series. We propose a minimum distance estimator that optimally combines the information contained in second, third, and fourth moments. Contrary to existing estimators, the proposed one is consistent under general assumptions, and may improve on the efficiency of estimators based on only second order moments. Our procedures are also applicable for processes for which either the third or the fourth order spectral density is the zero function.en
dc.description.sponsorshipSupported by Ministerio Economía y Competitividad (Spain), Grants ECO2012-31748, ECO2014-57007p and MDM 2014-0431, and Comunidad de Madrid, MadEco-CM (S2015/HUM- 3444). Supported by Asociación Mexicana de Cultura and from the Mexican Consejo Nacional de Ciencia y Tecnología (CONACYT) under project Grant 151624.en
dc.identifier.bibliographicCitationVelasco, C., & Lobato, I. N. (2018). Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models. The Annals of Statistics, 46(2), pp. 555-579es
dc.identifier.doi10.1214/17-AOS1560
dc.identifier.issn0090-5364
dc.identifier.publicationfirstpage555es
dc.identifier.publicationissue2es
dc.identifier.publicationlastpage579es
dc.identifier.publicationtitleANNALS OF STATISTICSes
dc.identifier.publicationvolume46es
dc.identifier.urihttps://hdl.handle.net/10016/34510
dc.identifier.uxxiAR/0000021455
dc.language.isoenges
dc.publisherInstitute of Mathematical Statisticses
dc.relation.projectIDGobierno de España. ECO2012-31748es
dc.relation.projectIDGobierno de España. ECO2014-57007-Pes
dc.rights© 2018 Institute of Mathematical Statisticses
dc.rights.accessRightsopen accesses
dc.subject.ecienciaEconomíaes
dc.subject.otherHigher-order momentsen
dc.subject.otherHigher-order spectraen
dc.subject.otherNonminimum phaseen
dc.subject.otherWhittle estimate.en
dc.titleFrequency domain minimum distance inference for possibly noninvertible and noncausal arma models.en
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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