Estimation of Parameters in the NLAR(p) Model

DOI10.1111/J.1467-9892.2008.00574.XMaRDI QIDQ3552841zbMATH OpenOpenAlexFDO

Authors Fukang Zhu, Dehui Wang

Publication date 22 April 2010

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00574.x

zbMATH Keywords

conditional least squaresmaximum quasi-likelihoodweighted conditional least squares

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A new Laplace second-order autoregressive time-series model--NLAR(2)
• Publication:4493112
• scientific article; zbMATH DE number 7108722
• Parameter estimation and asymptotic properties for a simplified new Laplace AR(1) model
• ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
• Autoregressive processes with normal-Laplace marginals

Cites work

• A new Laplace second-order autoregressive time-series model--NLAR(2)
• Estimating functions for nonlinear time series models
• Maximum quasi‐likelihood estimation for the near(2) model
• Parameter estimation for generalized random coefficient autoregressive processes
• Quasi-likelihood estimation for semimartingales
• Random coefficient autoregressive models: an introduction
• Time series: theory and methods

Cited in

(8)

• Parameter estimation and asymptotic properties for a simplified new Laplace AR(1) model
• Integer-valued bilinear model with dependent counting series
• Flexible and Robust Mixed Poisson INGARCH Models
• scientific article; zbMATH DE number 2049028 (Why is no real title available?)
• Maximum likelihood estimation of the DDRCINAR(p) model
• Modelling heavy-tailedness in count time series
• A mixture integer-valued ARCH model
• A new INAR model based on Poisson-BE2 innovations

This page was built for publication: Estimation of Parameters in the NLAR(p) Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3552841)