Local quasi-likelihood approach to varying-coefficient discrete-valued time series models

DOI10.1080/10485250310001634728MaRDI QIDQ4470141zbMATH OpenOpenAlexFDO

Authors Zongwu Cai

Publication date 22 June 2004

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250310001634728

zbMATH Keywords

AsymptoticsNonlinear time series analysisQuasi-likelihoodLocal linear fittingMarkov regression modelsNonparametric Akaike information criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Trending time-varying coefficient time series models with serially correlated errors
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Statistical inference in partially time-varying coefficient models

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