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

MaRDI QIDQ3403783zbMATH OpenFDO

Authors Fukang Zhu, Dehui Wang

Publication date 12 February 2010

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)

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• Quasi-likelihood estimation of parameters in AR(2) model under order restriction
• Maximum quasilikelihood estimation for a simplified NEAR(1) model.
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• Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

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