Asymptotic efficiency of estimating function estimators for nonlinear time series models

DOI10.14490/JJSS.39.209MaRDI QIDQ2919541zbMATH OpenOpenAlexFDO

Authors Tomoyuki Amano

Publication date 4 October 2012

Published in Journal of the Japan Statistical Society (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=39_2_209&screenID=AF06S010&noVol=39&noIssue=2

zbMATH Keywords

conditional least squares estimatorestimating functionGARCH modellocal asymptotic normalitynonlinear AR model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(6)

• The asymptotic properties of estimates of the parameters of nonlinear time series
• Asymptotic optimal inference for a class of nonlinear time series models
• Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves
• Efficiency in multivariate functional nonparametric models with autoregressive errors
• Asymptotic optimality of estimating function estimator for CHARN model
• Estimating functions for nonlinear time series models

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