no code implementations • 26 Jun 2023 • Gianluca Cubadda, Francesco Giancaterini, Alain Hecq, Joann Jasiak
When the number and type of nonlinear autocovariances included in the objective function of a GCov estimator is insufficient/inadequate, or the error density is too close to the Gaussian, identification issues can arise.
no code implementations • 16 May 2022 • Francesco Giancaterini, Alain Hecq, Claudio Morana
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models.
no code implementations • 3 Dec 2020 • Francesco Giancaterini, Alain Hecq
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student's t error process are reviewed.