172 citations · 438 across the 33 of their papers we have counts for
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math.ST2012★ 41 cited
Theory and Inference for a Class of Observation-driven Models with Application to Time Series of Counts
Richard A. Davis, Heng Liu
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter ex…
math.ST2012★ 11 cited
Unit roots in moving averages beyond first order
Richard A. Davis, Li Song
The asymptotic theory of various estimators based on Gaussian likelihood has been developed for the unit root and near unit root cases of a first-order moving average model. Previo…