ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
From MaRDI portal
Recommendations
- Estimation in nonlinear time series models
- On the estimation of nonlinear time series models
- scientific article; zbMATH DE number 4201426
- Estimating functions for nonlinear time series models
- Estimation of multivariate non-linear time series models
- Estimation in a class of nonlinear heteroscedastic time series models
Cites work
- An Optimum Property of Regular Maximum Likelihood Estimation
- Estimation in nonlinear time series models
- scientific article; zbMATH DE number 3942860 (Why is no real title available?)
- Optimal estimation for semimartingales
- The foundations of finite sample estimation in stochastic processes
- Unbiased recursive identification using model reference adaptive techniques
- Using empirical partially Bayes inference for increased efficiency
Cited in
(43)- RCA models with GARCH innovations
- Estimation of multivariate non-linear time series models
- A nonlinear time series model and estimation of missing observations
- Prediction via estimating functions
- A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
- Generalized smoothed estimating functions for nonlinear time series.
- Estimation for regression with infinite variance errors
- Recursive estimation for regression with infinite variance fractional ARIMA noise
- Modeling financial durations using penalized estimating functions
- Smoothed estimates for models with random coefficients and infinite variance innovations
- The FEXP estimator for potentially non-stationary linear time series.
- Filtering via estimating functions
- Estimating functions for branching processes
- Nonparametric estimation for some nonlinear models
- Inference for random coefficient volatility models
- Generalized duration models and optimal estimation using estimating functions
- Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
- RCA models with correlated errors
- Estimation in a class of nonlinear heteroscedastic time series models
- Properties of a new family of volatility sign models
- Random coefficient volatility models
- Combined estimating function for random coefficient models with correlated errors
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- A note on estimating equations for linear parameters in discrete-time stochastic processes
- First order autoregressive time series with negative binomial and geometric marginals
- Smoothed estimates for nonlinear time series models with irregular data
- Robust MR AS-type algorithm for system identification
- scientific article; zbMATH DE number 1215445 (Why is no real title available?)
- scientific article; zbMATH DE number 1215447 (Why is no real title available?)
- ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS
- Hypothesis testing for some time-series models: a power comparison
- RCA model with quadratic GARCH innovation distribution
- A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
- Random autoregressive models: a structured overview
- A profile Godambe information of power transformations for ARCH time series
- Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data
- Inference for some time series models with random coefficients and infinite variance innovations
- Joint estimation using quadratic estimating function
- Nonlinear recursive estimation of volatility via estimating functions
- Random coefficient GARCH models
- Random coefficient mixture (RCM) GARCH models
- Recent developments in volatility modeling and applications
- Combining estimating functions for volatility
This page was built for publication: ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3779616)
