Estimation of multivariate non-linear time series models
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functional estimationheteroscedastic modeltime-varying parametersconditional meanmissing observationsoptimal estimating functionlagged dependent variablesnonlinear time series modelsautoregressive conditional heteroscedastic modelnonlinear ARCH modelprefiltered optimal approachsimultaneous optimal estimation
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Cites work
- scientific article; zbMATH DE number 3831131 (Why is no real title available?)
- scientific article; zbMATH DE number 3852087 (Why is no real title available?)
- scientific article; zbMATH DE number 3942860 (Why is no real title available?)
- scientific article; zbMATH DE number 3703820 (Why is no real title available?)
- scientific article; zbMATH DE number 3421764 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- An Optimum Property of Regular Maximum Likelihood Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Heteroscedasticity in Models with Lagged Dependent Variables
- Optimal estimation for semimartingales
- STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
- The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
- The foundations of finite sample estimation in stochastic processes
- Time series in the time domain
- Using empirical partially Bayes inference for increased efficiency
Cited in
(17)- SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
- A family of multivariate non‐gaussian time series models
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Estimating functions for nonlinear time series models
- The Cepstral Model for Multivariate Time Series: The Vector Exponential Model
- Estimation in a class of nonlinear heteroscedastic time series models
- A tv-IVAR model for multivariate irregular time series
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Time-varying nonlinear regression models: nonparametric estimation and model selection
- Joint estimation using quadratic estimating function
- Nonlinear recursive estimation of volatility via estimating functions
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Prediction mean square error for non-stationary multivariate time series using estimated parameters
- Estimation and inference for nonlinear time series model in the presence of unspecified conditional variance: An EF approach
- Estimation in nonlinear time series models
- scientific article; zbMATH DE number 813721 (Why is no real title available?)
- Multivariate modelling of non-stationary economic time series
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