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Research Article

Statistical inference for ARMA time series with moving average trend

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Pages 357-376 | Received 09 Feb 2021, Accepted 06 Mar 2022, Published online: 30 Mar 2022

References

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  • Pierce, D.A. (1971), ‘Least Squares Estimation in the Regression Model with Autoregressive-moving Average Errors’, Biometrika, 58, 299–312.
  • Qiu, D., Shao, Q., and Yang, L. (2013), ‘Efficient Inference for Autoregressive Coefficients in the Presence of Trends’, Journal of Multivariate Analysis, 114, 40–53.
  • Shao, Q., and Yang, L. (2017), ‘Oracally Efficient Estimation and Consistent Model Selection for Auto-regressive Moving Average Time Series with Trend’, Journal of the Royal Statistical Society: Series B (Statistical Methodology), 79, 507–524.
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  • Yao, Q., and Brockwell, P.J. (2006), ‘Gaussian Maximum Likelihood Estimation for ARMA Models. I. Time Series’, Journal of Time Series Analysis, 27, 857–875.

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