Asymptotic optimal inference for a class of nonlinear time series models

DOI10.1016/0304-4149(93)90086-JzbMath0776.62068OpenAlexW2088017699MaRDI QIDQ1802320

Sun Young Hwang, Ishwar V. Basawa

Publication date: 21 July 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90086-j

zbMATH Keywords

local asymptotic normalitylog-likelihood ratiohigher order modelsLAN propertyquadratic mean differentiabilityasymptotically optimal estimatorsconstruction of asymptotically efficient tests of linearityexponential EAR(1)first-order nonlinear time seriesMarkovian nonlinear time series modelsrandom coefficient exponential RCEAR(1)random coefficient RCAR(1)random coefficient threshold RCTAR(1) modelsthreshold TAR(1)zero mean independent white noises

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

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