Estimation for nonlinear autoregressive models generated by beta-ARCH processes

MaRDI QIDQ3580443zbMATH OpenFDO

Authors S. Y. Hwang, I. V. Basawa

Publication date 12 August 2010

zbMATH Keywords

asymptotic normalityergodicityLAN propertymaximum likelihood estimationnonlinear time seriesquasilikelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) 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

(14)

• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• On the estimation of -ARCH models
• Higher-order asymptotic properties of QML in -ARCH and -ARCH models
• Estimating the generalized autoregression model parameters for unknown noise distribution
• Asymptotically optimal tests for non-linear autoregressive model with -ARCH errors
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Least squares estimation for critical random coefficient first-order autoregressive processes
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• A convolution-based autoregressive process
• scientific article; zbMATH DE number 4192907 (Why is no real title available?)
• Local asymptotic normality for long-memory process with strong mixing noises
• Estimating functions for nonlinear time series models
• Detecting weak changes in the mean of a class of nonlinear heteroscedastic models
• On testing for \textit{weak change} in the conditional mean of a class of nonlinear heteroscedastic models

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