Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...

The work revisits the autocovariance function estimation, a fundamental problem in statistical inference for time series. We convert the function estimation problem into constrained penalized ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

Maximum likelihood estimation of the parameters of a statistical model involves maximizing the likelihood or, equivalently, the log likelihood with respect to the parameters. The parameter values at ...