Large sample inference based on multiple observations from nonlinear autoregressive processes

DOI10.1016/0304-4149(93)00068-QzbMath0796.62074MaRDI QIDQ1315406

Ishwar V. Basawa, Sun Young Hwang

Publication date: 27 March 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

time seriesWald statisticlimiting distributionsleast squares estimatornonlinear autoregressive modelLAN propertyasymptotically optimal one-step maximum likelihood estimatorthreshold autoregressive model of order 1

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Strong convergence of estimators in nonlinear autoregressive models ⋮ Large sample estimation in nonstationary autoregressive processes with multiple observations ⋮ Local asymptotic normality for multivariate nonlinear AR processes ⋮ Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold models in non-linear time series analysis
• Asymptotic optimal inference for non-ergodic models
• Estimation in nonlinear time series models
• Asymptotic optimal inference for a class of nonlinear time series models
• On Large-Sample Estimation and Testing in Parametric Models
• Large-sample tests of homogeneity for time series models
• A threshold AR(1) model
• Large-sample inference for a regression model with autocorrelated errors
• Local Asymptotic Normality for Non-Identically Distributed Observations
• Statistics for Modern Business Decisions (2nd ed.).

This page was built for publication: Large sample inference based on multiple observations from nonlinear autoregressive processes