Maximum likelihood estimators in nonlinear autoregressive processes

zbMATH Open1351.62166MaRDI QIDQ5200366FDOQ5200366

Authors: Meriem Henkouche 

Publication date: 5 November 2012

Full work available at URL: http://www.m-hikari.com/ijma/ijma-2012/ijma-25-28-2012/index.html

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zbMATH Keywords

Berry-Esseen boundMLEautoregressive processspeed of convergenceEdgeworth

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cited In (18)

• On least squares estimation for stable nonlinear AR processes
• Étude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autorégressif: convergence, normalité asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, asymptotic distribution and expansion, rate of convergence)
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes
• Strong convergence of estimators in nonlinear autoregressive models
• Maximum likelihood estimators in regression models with infinite variance innovations
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• Maximum likelihood estimation for directional conditionally autoregressive models
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
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• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Title not available (Why is that?)
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Title not available (Why is that?)
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• Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
• Estimating Nonlinear Models by Maximum Likelihood for the Exponential Family

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