Maximum likelihood estimators in nonlinear autoregressive processes

MaRDI QIDQ5200366zbMATH OpenFDO

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

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)

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• 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
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• On multi-step MLE-process for Markov sequences
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• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
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• Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood
• Estimating Nonlinear Models by Maximum Likelihood for the Exponential Family
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors

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