Asymptotic optimal inference for a class of nonlinear time series models
DOI10.1016/0304-4149(93)90086-JzbMATH Open0776.62068OpenAlexW2088017699MaRDI QIDQ1802320FDOQ1802320
Authors: S. Y. Hwang, I. 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
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log-likelihood ratiolocal asymptotic normalityhigher 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
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Cited In (41)
- Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
- Variable selection in generalized random coefficient autoregressive models
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- Test for parameter changes in generalized random coefficient autoregressive model
- Limit theory for random coefficient first-order autoregressive process
- Local asymptotic normality for regression models with long-memory disturbance
- Godambe estimating functions and asymptotic optimal inference
- Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
- On local asymptotic normality for functional autoregressive processes
- Local asymptotic normality for bifurcating autoregressive processes and related asymptotic inference
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
- Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
- Efficient detection of random coefficients in autoregressive models
- Local asymptotic normality of Hilbertian autoregressive processes
- Barely-stationary \(\mathrm{AR}(1)\) sequences near random walk
- Parameter estimation for generalized random coefficient autoregressive processes
- Large sample inference based on multiple observations from nonlinear autoregressive processes
- The local asymptotic normality of a class of generalized random coefficient autoregressive processes
- Inference for a binary lattice Markov process
- Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors
- Optimal tests in \(\mathrm{AR}(m)\) time series model
- Locally asymptotic normality of parametric models of time series
- Coefficient constancy test in generalized random coefficient autoregressive model
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- Asymptotics for a class of generalized multicast autoregressive processes
- Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model
- Adaptive estimation in a random coefficient autoregressive model
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
- Tests in functional autoregressive processes via local asymptotic normality condition
- Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Asymptotic efficiency of estimating function estimators for nonlinear time series models
- Non-ergodic martingale estimating functions and related asymptotics
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- A new RCAR(1) model based on explanatory variables and observations
- Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data
- Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
- Neyman's C(α) test for the shape parameter of the exponential power class
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