Local asymptotic normality for multivariate nonlinear AR processes

DOI10.1080/10451120290019221MaRDI QIDQ4542936zbMATH OpenOpenAlexFDO

Authors D. Lai, Xiaobao Wang, John J. Wiorkowski

Publication date 20 September 2002

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10451120290019221

zbMATH Keywords

multivariate nonlinear AR processesrandom vectors

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Adaptive estimation in time-series models
• Asymptotic inference in stationary Gaussian time-series
• Asymptotic methods in statistical decision theory
• Asymptotic optimal inference for a class of nonlinear time series models
• Asymptotically normal families of distributions and efficient estimation
• Asymptotics in statistics: some basic concepts
• Efficient estimation in nonlinear autoregressive time-series models
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Large sample inference based on multiple observations from nonlinear autoregressive processes
• Local asymptotic normality for autoregression with infinite order
• Local asymptotic normality for multivariate linear processes
• Local asymptotic normality for regression models with long-memory disturbance
• On adaptive estimation in stationary ARMA processes
• ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
• Stationarity of Gtarch Processes
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Cited in

(12)

• Local asymptotic normality for multivariate linear processes
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Local asymptotic normality of multivariate ARMA processes with a linear trend
• LAN theorem for non-Gaussian locally stationary processes and its applications
• On local asymptotic normality for functional autoregressive processes
• Local asymptotic normality of Hilbertian autoregressive processes
• Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
• scientific article; zbMATH DE number 1400030 (Why is no real title available?)
• Local asymptotic normality and efficient estimation for multivariate \(\mathrm{GINAR}(p)\) models
• Local asymptotic normality for long-memory process with strong mixing noises
• Local asymptotic normality for bifurcating autoregressive processes and related asymptotic inference
• Comparison study of AR models on the Canadian lynx data: A close look at BDS statistic

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