Estimating function approach for CHARN models

DOI10.1007/BF03263521MaRDI QIDQ475342zbMATH OpenFDO

Authors Hiroomi Kanai, Hiroaki Ogata, Masanobu Taniguchi

Publication date 26 November 2014

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

empirical likelihoodestimating functionmean square errorCHARN modelnonlinear time series modeloptimal estimating function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Optimal estimating function for weak location‐scale dynamic models
• Wilks' theorem for semiparametric regressions with weakly dependent data
• Asymptotic optimality of estimating function estimator for CHARN model

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