Estimators for alternating nonlinear autoregression

DOI10.1016/J.JMVA.2008.04.011zbMath1152.62060OpenAlexW1973220471MaRDI QIDQ2519039

Anton Schick, Ursula U. Müller, Wolfgang Wefelmeyer

Publication date: 22 January 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.04.011

zbMATH Keywords

asymptotically linear estimatorlinear autoregressionregular estimatorconvolution theoremweighted least squares estimatorNewton-Raphson procedureinnovation distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• Correction to ``A note on the construction of asymptotically linear estimators
• On statistics of Markov step processes: Representation of log-likelihood ratio processes in filtered local models
• Erratum to: On geometric ergodicity of nonlinear autoregressive models
• Efficient estimation in nonlinear autoregressive time-series models
• Local asymptotic normality and mixed normality for Markov statistical models
• Estimating the innovation distribution in nonlinear autoregressive models
• Correction to: On efficient estimation in regression models
• Empirical likelihood ratio confidence intervals for a single functional
• Asymptotic Inference in Markov Processes

This page was built for publication: Estimators for alternating nonlinear autoregression