The parametric estimations and asymptotics for a single-index model with autoregressive processes

MaRDI QIDQ2993356zbMATH OpenFDO

Authors WenWen Guo, Hengjian Cui

Publication date 10 August 2016

zbMATH Keywords

single-index modelslocal polynomial regressionweak consistencyasymptotic normalquasi-maximum like-lihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• scientific article; zbMATH DE number 1833046

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(3)

• A single-index model procedure for interpolation intervals in time series
• Estimation on the single index models with \({\text{AR}}\left( q \right)\) serial correlated error
• The profile likelihood estimation for single-index ARCH(\(p\))-M model

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