scientific article; zbMATH DE number 3885162

MaRDI QIDQ3218968zbMATH OpenFDO

Authors Piet de Jong

Publication date 1985

zbMATH Keywords

asymptotically efficientperiodogramregression type estimatorvariance component time series models

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
• Efficient estimator for time series
• VARIANCE ESTIMATION IN THE ERROR COMPONENTS REGRESSION MODEL
• Sequential estimation for time series regression models
• Variance estimation in nonlinear autoregressive time series models

Cited in

(4)

• CLS asymptotic variance for a particular relevant bilinear time series model
• EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
• Natural estimation of variances in a general finite discrete spectrum linear regression model
• Second order optimality for estimators in time series regression models

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