Estimation in nonlinear time series models

DOI10.1016/0304-4149(86)90099-2zbMath0598.62109OpenAlexW2092833922WikidataQ100558613 ScholiaQ100558613MaRDI QIDQ1079909

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90099-2

zbMATH Keywords

asymptotic normality maximum likelihood estimates strong consistency nonlinear time series models Taylor series expansion conditional least squares ergodic strictly stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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