On conditional least squares estimation for stochastic processes

Cited In (only showing first 100 items - show all)

Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
Estimation of the offspring mean in a controlled branching process with a random control function
Asymptotics of the signed-rank estimator under dependent observations
A general procedure for change-point detection in multivariate time series
Testing for parameter constancy in non-Gaussian time series
Integer-valued self-exciting threshold autoregressive processes
Least-squares estimation of transition probabilities from aggregate data
Specification, estimation, and evaluation of smooth transition autoregressive models
First-order observation-driven integer-valued autoregressive processes
ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes
Multivariate count autoregression
Asymptotic properties of CLS estimators in the Poisson AR(1) model
Asymptotics of kernel error density estimators in nonlinear autoregressive models
M-ESTIMATION IN GARCH MODELS
Asymptotic behavior of unstable INAR(\(p\)) processes
Efficient method of moments estimators for integer time series models
Testing the adequacy of smooth transition autoregressive models
Testing independence of two autocorrelated binary time series
Bivariate zero truncated Poisson INAR(1) process
Pseudo‐likelihood estimation in ARCH models
Global property of error density estimation in nonlinear autoregressive time series models
A negative binomial thinning‐based bivariate INAR(1) process
On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
Estimation in a class of nonlinear heteroscedastic time series models
THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
Model specification testing of time series regressions
Asymptotic optimal inference for a class of nonlinear time series models
Maximum likelihood estimation of higher-order integer-valued autoregressive processes
Test for parameter change in stochastic processes based on conditional least-squares estimator
Product autoregressive models for non-negative variables
Estimating function approach for CHARN models
Inference for INAR\((p)\) processes with signed generalized power series thinning operator
First order autoregressive time series with negative binomial and geometric marginals
The INARCH(1) model for overdispersed time series of counts
Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
On quasi‐likelihood estimation for branching processes with immigration
Inference in binomial AR(1) models
Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
Quasi-likelihood models and optimal inference
First-order random coefficient integer-valued autoregressive processes
Variance estimation in nonlinear autoregressive time series models
ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
On testing for independence between the innovations of several time series
Binomial thinning models for integer time series
Testing for parameter constancy in general causal time-series models
FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
Generalized RCINAR(1) process with signed thinning operator
Some asymptotic properties in INAR(1) processes with Poisson marginals
Second order longitudinal dynamic models with covariates: estimation and forecasting
Some asymptotic results for the branching process with immigration
Asymptotic inference for nearly unstable INAR(1) models
Estimation of Some Bilinear Time Series Models with Time Varying Coefficients
First order non-negative integer valued autoregressive processes with power series innovations
A semiparametric method for estimating nonlinear autoregressive model with dependent errors
Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
Change detection in \(\mathrm{INAR}(p)\) processes against various alternative hypotheses
Estimation of the variances in the branching process with immigration
Estimating function method for nonnegative autoregressive models
An estimation procedure for the Hawkes process
Simultaneous confidence regions for the parameters of a Poisson \(INAR(1)\) model
A Poisson INAR(1) process with a seasonal structure
A Poisson INAR(1) model with serially dependent innovations
Semiparametric estimation of regression functions in autoregressive models
Chain binomial models and binomial autoregressive processes
Non-Gaussian bifurcating models and quasi-likelihood estimation
Non-ergodic martingale estimating functions and related asymptotics
AR(1) model with skew-normal innovations
Estimating linear representations of nonlinear processes
Estimation in nonlinear time series models
STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
Bayesian empirical likelihood inference for the generalized binomial AR(1) model
A non-stationary integer-valued autoregressive model
Statistical inference for the covariates-driven binomial AR(1) process
Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
Generalized RCINAR(p) Process with Signed Thinning Operator
Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
Estimation of autoregressive models with epsilon-skew-normal innovations
A goodness-of-fit test of the errors in nonlinear autoregressive time series models
Local Gaussian correlation: a new measure of dependence
ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
Robust inference for variance components models for single trees of cell lineage data
Estimating functions for branching processes
Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
On estimation of the variances for critical branching processes with immigration
First-order random coefficients integer-valued threshold autoregressive processes
Maximum quasilikelihood estimation for a simplified NEAR(1) model.
A diagnostic statistic for functional-coefficient autoregressive models
Martingales in mark-recapture experiments with constant recruitment and survival
Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning
Transform martingale estimating functions
Strong convergence of estimators in nonlinear autoregressive models
Self-exciting threshold binomial autoregressive processes
Statistical inference of 2-type critical Galton-Watson processes with immigration
A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
Two classes of dynamic binomial integer-valued ARCH models

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