A semiparametric method for estimating nonlinear autoregressive model with dependent errors

DOI10.1016/J.NA.2011.06.016MaRDI QIDQ640165zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

nonlinear autoregressive modelconditional least squares methodkernel approach

Mathematics Subject Classification ID

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

(12)

• A robust class of nonlinear autoregressive models with regression function and dependent innovations using semiparametric kernel estimation
• A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
• Nonlinear semiparametric AR(1) model with skew-symmetric innovations
• A semiparametric estimation for the nonlinear vector autoregressive time series model
• Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data
• Nonlinear semiparametric autoregressive model with finite mixtures of scale mixtures of skew normal innovations
• The single-index panel data models with heterogeneous link function: mixture approach
• Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
• 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
• A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
• scientific article; zbMATH DE number 952098 (Why is no real title available?)

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