Parameter estimation and asymptotic properties for a simplified new Laplace AR(1) model

zbMATH Open1190.62169MaRDI QIDQ3403783FDOQ3403783

Authors: Fukang Zhu, Dehui Wang 

Publication date: 12 February 2010

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zbMATH Keywords

asymptotic normalitystrong consistencyconditional least squaresmaximum quasi-likelihood

Mathematics Subject Classification ID

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

Cited In (5)

• Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
• Quasi-likelihood estimation of parameters in AR(2) model under order restriction
• Maximum quasilikelihood estimation for a simplified NEAR(1) model.
• Estimation of Parameters in the NLAR(p) Model
• Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

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