Estimating functions for nonlinear time series models

DOI10.1023/A:1017924722711MaRDI QIDQ5960140zbMATH OpenOpenAlexFDO

Authors S. Ajay Chandra, Masanobu Taniguchi

Publication date 11 April 2002

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017924722711

zbMATH Keywords

asymptotic optimalityautoregressive conditonal heteroskedasticity modelsclassical moement estimatorconditional least squares estimatornonlinear time series modelsrandom coefficient autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

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• A model for integer-valued time series with conditional overdispersion
• Inference for linear and nonlinear stable error processes via estimating functions
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• A doubly robustified estimating function for ARCH time series models
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Quasi score-driven models
• Combined estimating function for random coefficient models with correlated errors
• Asymptotic efficiency of estimating function estimators for nonlinear time series models
• Minimum alpha-divergence estimation for arch models
• Estimation of Parameters in the NLAR(p) Model
• Estimation for nonlinear autoregressive models generated by beta-ARCH processes
• scientific article; zbMATH DE number 3898064 (Why is no real title available?)
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Non-stationary quasi-likelihood and asymptotic optimality
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Asymptotic optimality of estimating function estimator for CHARN model
• Estimating function approach for CHARN models
• Random autoregressive models: a structured overview
• On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
• A profile Godambe information of power transformations for ARCH time series
• Estimating function method for nonnegative autoregressive models
• Optimal estimating function for weak location‐scale dynamic models
• Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
• Estimation and testing for a Poisson autoregressive model
• Joint estimation using quadratic estimating function
• Nonparametric function estimation for time series by local average estimators
• Improved estimation of dynamic models of conditional means and variances
• Title not available (Why is no real title available?)
• Combining estimating functions for volatility

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