PMM2 delivers 37-47% variance reduction over classical ARIMA estimators for asymmetric innovations in Monte Carlo tests while matching OLS performance under Gaussian errors.
Model-based clustering of multiple time series.Journal of Business & Economic Statistics, 24(1):78–89, 2006
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Applying the Polynomial Maximization Method to Estimate ARIMA Models with Asymmetric Non-Gaussian Innovations
PMM2 delivers 37-47% variance reduction over classical ARIMA estimators for asymmetric innovations in Monte Carlo tests while matching OLS performance under Gaussian errors.