Martingale methods of estimation in a nonlinear autoregression model

MaRDI QIDQ3411199zbMATH OpenFDO

Authors A. P. Yurachkivs'kyj, D. O. Ivanenko

Publication date 8 December 2006

zbMATH Keywords

autoregressionconvergenceestimatormartingale

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(4)

• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
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• Non-ergodic martingale estimating functions and related asymptotics
• Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression

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