Note on parameter estimation for general non–linear time series models

DOI10.1080/02331888708802055MaRDI QIDQ3776441zbMATH OpenOpenAlexFDO

Authors Wilfried Loges

Publication date 1987

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888708802055

zbMATH Keywords

strong consistencyKronecker's lemmaLeast squares estimationnonlinear autoregressive processesergodic martingale difference sequence

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• scientific article; zbMATH DE number 3626409 (Why is no real title available?)
• An Algorithm for Finding the Exact Significance Levels of r × c Contingency Tables
• Inequalities: theory of majorization and its applications
• Unbiasedness of tests for homogeneity

Cited in

(12)

• On least squares estimation for stable nonlinear AR processes
• scientific article; zbMATH DE number 4107971 (Why is no real title available?)
• Nonlinear positive ar(2) processes
• Generalized smoothed estimating functions for nonlinear time series.
• Nonlinear nonnegative ar(1) processes
• Strong consistency of the extended least squares method with nonlinear error transformation
• A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
• Robust recursive estimation in nonlinear time series
• scientific article; zbMATH DE number 4149261 (Why is no real title available?)
• scientific article; zbMATH DE number 1974343 (Why is no real title available?)
• A note on parameter estimation under a t-model
• On nonlinear models for time series

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