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Optimization of the Generalized Covariance Estimator in Noncausal Processes
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.
Is climate change time reversible?
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models.
Inference in mixed causal and noncausal models with generalized Student's t-distributions
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student's t error process are reviewed.
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