Estimating function approach for CHARN models

DOI10.1007/BF03263521zbMATH Open1301.62036MaRDI QIDQ475342FDOQ475342

Masanobu Taniguchi, Hiroaki Ogata, Hiroomi Kanai

Publication date: 26 November 2014

Published in: Metron (Search for Journal in Brave)

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)

Cites Work

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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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