JOURNAL ARTICLE

Covariance matrix estimation for estimators of mixing weak ARMA models

Christian FrancqJean‐Michel Zakoïan

Year: 2000 Journal:   Journal of Statistical Planning and Inference Vol: 83 (2)Pages: 369-394   Publisher: Elsevier BV
Keywords:
Mathematics Estimator Applied mathematics Covariance Covariance matrix Statistics Autoregressive–moving-average model Mixing (physics) Martingale difference sequence Estimation of covariance matrices Consistent estimator Minimum-variance unbiased estimator Martingale (probability theory) Econometrics Autoregressive model

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41
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0.86
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Topics

Monetary Policy and Economic Impact
Social Sciences →  Economics, Econometrics and Finance →  General Economics, Econometrics and Finance
Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Market Dynamics and Volatility
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics

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