Estimation of multivariate non-linear time series models

DOI10.1016/0378-3758(91)90009-4zbMath0746.62092MaRDI QIDQ1193965

Bovas Abraham, A. Thavaneswaran

Publication date: 27 September 1992

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(91)90009-4

zbMATH Keywords

missing observations; time-varying parameters; functional estimation; nonlinear time series models; heteroscedastic model; conditional mean; optimal estimating function; lagged dependent variables; autoregressive conditional heteroscedastic model; nonlinear ARCH model; prefiltered optimal approach; simultaneous optimal estimation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

Cites Work

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