Estimation of the parameters of linear time series models subject to nonlinear restrictions

DOI10.1214/AOS/1176348242zbMATH Open0729.62087OpenAlexW2077121144MaRDI QIDQ806876FDOQ806876

Authors: Neerchal K. Nagaraj, Wayne A. Fuller 

Publication date: 1991

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348242

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zbMATH Keywords

nonstationarynonlinear restrictionsLeast squares estimatorslinear time series model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (14)

• An algorithm to estimate time-varying parameter SURE models under different types of restriction
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• Efficient minimum distance estimator for quantile regression fixed effects panel data
• Estimation of parameters of a spline-type time series model by the method of least squares
• Note on parameter estimation for general non–linear time series models
• An adaptive stochastic sequential quadratic programming with differentiable exact augmented Lagrangians
• Asymptotics of estimates in constrained nonlinear regression with long-range dependent innova\-tions
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• The EM algorithm for ML estimators under nonlinear inequalities restrictions on the parameters
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• Pooling estimates with different rates of convergence: a minimum \(\chi ^{2}\) approach with emphasis on a social interactions model

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