A semiparametric method for estimating nonlinear autoregressive model with dependent errors
DOI10.1016/J.NA.2011.06.016zbMATH Open1232.62118OpenAlexW2068941272MaRDI QIDQ640165FDOQ640165
S. J. Mortazavi, Rahman Farnoosh
Publication date: 17 October 2011
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2011.06.016
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Point estimation (62F10) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (11)
- A robust class of nonlinear autoregressive models with regression function and dependent innovations using semiparametric kernel estimation
- A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
- Title not available (Why is that?)
- Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
- Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- Nonlinear semiparametric autoregressive model with finite mixtures of scale mixtures of skew normal innovations
- Nonlinear semiparametric AR(1) model with skew-symmetric innovations
- A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
- The single-index panel data models with heterogeneous link function: mixture approach
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