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  • Search: subject:"Mixed causal-noncausal process"
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Year of publication
Subject
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Estimation theory 2 Schätztheorie 2 $\alpha$-stable distribution 1 Canonical correlation 1 Commodities 1 Commodity price 1 Continuously updating GMM 1 Correlation 1 Domain of attraction 1 Generalized covariance estimator 1 Infinite moving average 1 Korrelation 1 Linear process 1 Method of moments 1 Mixed causal-noncausal process 1 Mixed causal/noncausal process 1 Momentenmethode 1 Nichtparametrisches Verfahren 1 Nonparametric identification 1 Nonparametric statistics 1 Portmanteau Statistic 1 Regression analysis 1 Regressionsanalyse 1 Rohstoffpreis 1 Semiparametric estimator 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Unobserved component model 1 Zeitreihenanalyse 1 commodity prices 1 identi cation 1 mixed causal-noncausal process 1 non-Gaussian errors 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Gouriéroux, Christian 2 Hecq, Alain W. J. 1 Issler, João Victor 1 Jasiak, Joann 1 Telg, Sean 1 Zakoian, Jean-Michel 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Ensaios econômicos 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 MPRA Paper 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Generalized covariance estimator
Gouriéroux, Christian; Jasiak, Joann - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1315-1327
Persistent link: https://www.econbiz.de/10014448640
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Cover Image
Mixed causal-noncausal autoregressions with exogenous regressors
Hecq, Alain W. J.; Issler, João Victor; Telg, Sean - 2019
Persistent link: https://www.econbiz.de/10012117941
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Cover Image
On uniqueness of moving average representations of heavy-tailed stationary processes
Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014
We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...
Persistent link: https://www.econbiz.de/10011107938
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