Meitz, Mika; Saikkonen, Pentti - In: Journal of Multivariate Analysis 114 (2013) C, pp. 227-255
We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to the so-called all-pass models in that it allows for autocorrelation and for more flexible forms of...