Estimating functions for nonlinear time series models
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Publication:5960140
DOI10.1023/A:1017924722711zbMath0995.62088MaRDI QIDQ5960140
Masanobu Taniguchi, S. Ajay Chandra
Publication date: 11 April 2002
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1017924722711
asymptotic optimality; autoregressive conditonal heteroskedasticity models; classical moement estimator; conditional least squares estimator; nonlinear time series models; random coefficient autoregressive models
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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