On least squares estimation for stable nonlinear AR processes

DOI10.1023/A:1004117906532MaRDI QIDQ1585890zbMATH OpenOpenAlexFDO

Authors Jian-Feng Yao

Publication date 2 May 2001

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1004117906532

zbMATH Keywords

law of the iterated logarithmleast squares estimationmodel selectionmultilayer perceptronnonlinear AR process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Sur l'estimateur des moindres carrés d'un modèle autorégressif fonctionnel
• Maximum likelihood estimators in nonlinear autoregressive processes
• Note on parameter estimation for general non–linear time series models
• Nonlinear least-squares estimation
• On stability of nonlinear AR processes with Markov switching

Cited in

(14)

• On least-squares and naïve extrapolations in a nonlinear AR(1) process
• Density estimation for nonlinear parametric models with conditional heteroscedasticity
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Note on parameter estimation for general non–linear time series models
• Sur l'estimateur des moindres carrés d'un modèle autorégressif fonctionnel
• scientific article; zbMATH DE number 1974343 (Why is no real title available?)
• Extrapolations in non-linear autoregressive processes.
• Asymptotics for regression models under loss of identifiability
• Maximum likelihood estimators in nonlinear autoregressive processes
• Estimation and Test for Multi-Dimensional Regression Models
• Conditional least squares estimation for the SINAR(1, 1) process
• An efficient averaged stochastic Gauss-Newton algorithm for estimating parameters of nonlinear regressions models
• Optimal adaptive output regulation of discrete-time nonlinear stochastic systems
• Conditional least squares estimation in nonstationary nonlinear stochastic regression models

This page was built for publication: On least squares estimation for stable nonlinear AR processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1585890)