Asymptotic optimal inference for a class of nonlinear time series models

DOI10.1016/0304-4149(93)90086-JMaRDI QIDQ1802320zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

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) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) General second-order stochastic processes (60G12)

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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
• scientific article; zbMATH DE number 1758639 (Why is no real title available?)
• 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
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• Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
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• Statistical inference for generalized random coefficient autoregressive model
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• 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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