Hellinger distance estimation of general bilinear time series models

DOI10.1016/j.stamet.2007.06.005zbMath1248.62149MaRDI QIDQ713820

Ouagnina Hili

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2007.06.005

zbMATH Keywords

consistency; asymptotic normality; geometric ergodicity; existence of moments

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Identification of stable elementary bilinear time-series model, ESTIMATION QUANTILES OF THE GUMBEL DISTRIBUTION BASED ON THE HELLINGER DISTANCE: APPLICATION OF DATA FROM L’ARDIÈRES STATION OF BEAUJEU (RHÔNE DEPARTMENT), On periodic time-varying bilinear processes: structure and asymptotic inference, Hellinger distance estimation of stationary Gaussian strongly dependent processes, Hellinger distance estimates of long memory linear processes, INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL, Minimum distance estimation of Markov-switching bilinear processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Minimum Hellinger distance estimates for parametric models
• Hellinger distance estimation of nonlinear dynamical systems.
• On the estimation of \(\beta\)-ARCH models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• A note on causality and invertibility of a general bilinear time series model
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• On the general bilinear time series model
• On the first-order bilinear time series model
• Cross-validation in density estimation
• On nonlinear models for time series
• On the estimation of nonlinear time series models