Asymptotic optimal inference for a class of nonlinear time series models
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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
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) General second-order stochastic processes (60G12)
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Cites work
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- A threshold AR(1) model
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Cited in
(41)- Limit theory for random coefficient first-order autoregressive process
- Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
- Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model
- On local asymptotic normality for functional autoregressive processes
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
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- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data
- Locally asymptotic normality of parametric models of time series
- Optimal tests in \(\mathrm{AR}(m)\) time series model
- Local asymptotic normality of Hilbertian autoregressive processes
- Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
- Local asymptotic normality for regression models with long-memory disturbance
- Variable selection in generalized random coefficient autoregressive models
- Local asymptotic normality for bifurcating autoregressive processes and related asymptotic inference
- Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors
- Adaptive estimation in a random coefficient autoregressive model
- The local asymptotic normality of a class of generalized random coefficient autoregressive processes
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
- Coefficient constancy test in generalized random coefficient autoregressive model
- A new RCAR(1) model based on explanatory variables and observations
- Godambe estimating functions and asymptotic optimal inference
- Local asymptotic normality for multivariate nonlinear AR processes
- Asymptotic efficiency of estimating function estimators for nonlinear time series models
- Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
- Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
- Tests in functional autoregressive processes via local asymptotic normality condition
- Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods
- Statistical inference for generalized random coefficient autoregressive model
- Barely-stationary \(\mathrm{AR}(1)\) sequences near random walk
- Non-ergodic martingale estimating functions and related asymptotics
- Neyman's C(α) test for the shape parameter of the exponential power class
- Test for parameter changes in generalized random coefficient autoregressive model
- Efficient detection of random coefficients in autoregressive models
- Parameter estimation for generalized random coefficient autoregressive processes
- Large sample inference based on multiple observations from nonlinear autoregressive processes
- Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
- Inference for a binary lattice Markov process
- Asymptotics for a class of generalized multicast autoregressive processes
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