Large sample inference for conditional exponential families with applications to nonlinear time series
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asymptotically optimal estimatorsasymptotically optimal testsconditional exponential familyefficient estimationLAN propertylocal asymptotic normality of the log-likelihood rationonlinear time seriesrandom coefficient exponential autoregressive modelsrandom coefficient threshold autoregressive modelssimulationsstationary ergodic Markov processtransition density
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Cites work
- A threshold AR(1) model
- Conditional exponential families and a representation theorem for asymptotic inference
- Contiguity of Probability Measures
- Estimation in nonlinear time series models
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- Large-Sample Statistics Based on Quadratic Dispersion
- Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
- Nonlinear autoregressive processes
- On Large-Sample Estimation and Testing in Parametric Models
- On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
- The Lindeberg-Levy Theorem for Martingales
- Threshold models in non-linear time series analysis
Cited in
(10)- Parameter estimation for generalized random coefficient autoregressive processes
- Asymptotic optimal inference for a class of nonlinear time series models
- Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
- scientific article; zbMATH DE number 4201414 (Why is no real title available?)
- Limit theory for random coefficient first-order autoregressive process
- scientific article; zbMATH DE number 4115741 (Why is no real title available?)
- Locally asymptotic normality of parametric models of time series
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
- A new RCAR(1) model based on explanatory variables and observations
- Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes
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