Estimation of multivariate non-linear time series models
DOI10.1016/0378-3758(91)90009-4zbMath0746.62092MaRDI QIDQ1193965
A. Thavaneswaran, Bovas Abraham
Publication date: 27 September 1992
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-3758(91)90009-4
missing observations; time-varying parameters; functional estimation; nonlinear time series models; heteroscedastic model; conditional mean; optimal estimating function; lagged dependent variables; autoregressive conditional heteroscedastic model; nonlinear ARCH model; prefiltered optimal approach; simultaneous optimal estimation
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
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