Variance estimation in nonlinear autoregressive time series models

DOI10.1016/J.JSPI.2010.11.010MaRDI QIDQ622460zbMATH OpenOpenAlexFDO

Authors Fuxia Cheng

Publication date 31 January 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.11.010

zbMATH Keywords

residualsasymptotic distributionerror variance estimationstationary process

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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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Estimating the density of the residuals in autoregressive models
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• On conditional least squares estimation for stochastic processes

Cited in

(12)

• scientific article; zbMATH DE number 3885162 (Why is no real title available?)
• AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• The variance ratio and trend stationary model as extensions of a constrained autoregressive model
• Postmodel selection estimators of variance function for nonlinear autoregression
• scientific article; zbMATH DE number 3907620 (Why is no real title available?)
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Nonparametric regression with rescaled time series errors
• Strong consistency of the distribution estimator in the nonlinear autoregressive time series
• Estimation and inference for nonlinear time series model in the presence of unspecified conditional variance: An EF approach
• scientific article; zbMATH DE number 6471962 (Why is no real title available?)
• Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis
• Linear time series variance

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