ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS

DOI10.1111/J.1467-9892.1991.TB00076.XzbMath0743.62079OpenAlexW1997867072MaRDI QIDQ4713798

L. Billard, Fouad Y. Mohamed

Publication date: 25 June 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00076.x

zbMATH Keywords

asymptotic normalitytime series modelsstrongly consistentconditional least-squares estimatorssmall-sample propertiesexponential autoregressive process\(EAR(p)\) models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (5)

Estimation on a GAR(1) Process by the EM Algorithm ⋮ Transform martingale estimating functions ⋮ Discontinuities in indirect estimation: an application to EAR models ⋮ A Beta-Gamma autoregressive process of the second-order (BGAR(2)) ⋮ Estimation for the semipareto processes

Cites Work

• Unnamed Item
• On conditional least squares estimation for stochastic processes
• First-order autoregressive gamma sequences and point processes
• A new autoregressive time series model in exponential variables (NEAR(1))
• Product autoregression: a time-series characterization of the gamma distribution
• A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)

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