Estimating function approach for CHARN models

DOI10.1007/BF03263521zbMATH Open1301.62036MaRDI QIDQ475342FDOQ475342

Authors: Hiroomi Kanai, Hiroaki Ogata, Masanobu Taniguchi 

Publication date: 26 November 2014

Published in: Metron (Search for Journal in Brave)

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zbMATH Keywords

empirical likelihoodestimating functionmean square errorCHARN modelnonlinear time series modeloptimal estimating function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (3)

• Optimal estimating function for weak location‐scale dynamic models
• Asymptotic optimality of estimating function estimator for CHARN model
• Wilks' theorem for semiparametric regressions with weakly dependent data

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