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

asymptotic distributionerror variance estimationresidualsstationary process

Mathematics Subject Classification ID

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

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Cites work

• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Estimating the density of the residuals in autoregressive models
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• 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

(15)

• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Optimal difference-based variance estimators in time series: a general framework
• Nonparametric regression with rescaled time series errors
• Estimation and inference for nonlinear time series model in the presence of unspecified conditional variance: An EF approach
• 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 3885162 (Why is no real title available?)
• AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• scientific article; zbMATH DE number 3907620 (Why is no real title available?)
• Linear time series variance
• scientific article; zbMATH DE number 6471962 (Why is no real title available?)
• Asymptotics of the composite quantile regression estimator for nonlinear autoregressive models
• Law of the iterated logarithm for error variance estimator in pth-order non linear autoregressive processes
• Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis
• Strong consistency of the distribution estimator in the nonlinear autoregressive time series

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