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

DOI10.1214/AOS/1176348242MaRDI QIDQ806876zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(16)

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• An Algorithm to Estimate Time Varying Parameter SURE Models under Different Type of Restrictions
• 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
• Asymptotics of least-squares estimators for constrained nonlinear regression
• The EM algorithm for ML estimators under nonlinear inequalities restrictions on the parameters
• Inference on power law spatial trends
• Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints
• Pooling estimates with different rates of convergence: a minimum \(\chi ^{2}\) approach with emphasis on a social interactions model

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