Maximum quasilikelihood estimation for a simplified NEAR(1) model.
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Publication:1871216
DOI10.1016/S0167-7152(02)00112-8zbMath1092.62588OpenAlexW2090499145MaRDI QIDQ1871216
Publication date: 7 May 2003
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00112-8
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Cites Work
- Maximum probability estimators and related topics
- On conditional least squares estimation for stochastic processes
- Maximum-Likelihood Estimation of Parameters Subject to Restraints
- ON THE EXISTENCE OF THE STATIONARY AND ERGODIC NEAR(p) MODEL
- A new autoregressive time series model in exponential variables (NEAR(1))
- The Lindeberg-Levy Theorem for Martingales
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