Asymptotic optimal inference for a class of nonlinear time series models (Q1802320)
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English | Asymptotic optimal inference for a class of nonlinear time series models |
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Asymptotic optimal inference for a class of nonlinear time series models (English)
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21 July 1993
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The authors investigate first-order nonlinear time series \(\{Y_ t,\;t\geq 0\}\) generated from \(Y_ t=H_ \theta(Y_{t-1},z_ t)+\varepsilon_ t\), \(t=1,2,\dots,\) where \(\{\varepsilon_ t\}\) and \(\{z_ t\}\) are zero mean independent white noises. This class includes random coefficient RCAR(1), threshold TAR(1), exponential EAR(1), random coefficient exponential RCEAR(1), and random coefficient threshold RCTAR(1) models. Under some technical conditions, the local asymptotic normality (LAN) of the log-likelihood ratio is established. Using the LAN property, asymptotically optimal estimators of the parameters are derived. The results are used for construction of asymptotically efficient tests of linearity. An extension to higher order models is also briefly described.
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Markovian nonlinear time series models
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quadratic mean differentiability
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first-order nonlinear time series
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zero mean independent white noises
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random coefficient RCAR(1)
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threshold TAR(1)
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exponential EAR(1)
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random coefficient exponential RCEAR(1)
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random coefficient threshold RCTAR(1) models
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local asymptotic normality
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log-likelihood ratio
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LAN property
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asymptotically optimal estimators
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construction of asymptotically efficient tests of linearity
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higher order models
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