ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS

DOI10.1111/j.1467-9892.1988.tb00457.xzbMath0638.62083OpenAlexW2067188358MaRDI QIDQ3779616

Bovas Abraham, A. Thavaneswaran

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00457.x

zbMATH Keywords

Kalman filteroptimal estimating equationsnonlinear state-space modelthreshold autoregressive processrecursive estimation proceduredoubly stochastic time seriesnonlinear time series estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cites Work

• Unnamed Item
• Estimation in nonlinear time series models
• Using empirical partially Bayes inference for increased efficiency
• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• Unbiased recursive identification using model reference adaptive techniques
• An Optimum Property of Regular Maximum Likelihood Estimation

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