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Minimum distance estimation of possibly noninvertible moving average models
N Gospodinov, S Ng - Journal of Business & Economic Statistics, 2015 - Taylor & Francis
This article considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher order cumulants allows identification of the parameters without …
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This article considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher order cumulants allows identification of the parameters without …