A bound for estimation in nonlinear time series models by independence testing methods (Q1097618)
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scientific article; zbMATH DE number 4034923
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A bound for estimation in nonlinear time series models by independence testing methods |
scientific article; zbMATH DE number 4034923 |
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A bound for estimation in nonlinear time series models by independence testing methods (English)
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1988
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A bound is derived for the asymptotic efficiency of estimates of the parameter in a nonlinear time series model when the estimation is based on testing for independence of the estimated residuals from the series past. For intrinsically linear time series models efficiency is attainable regardless of the distribution of the error terms.
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bound
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asymptotic efficiency of estimates
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nonlinear time series model
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testing for independence of the estimated residuals
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0.7950884699821472
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0.7916444540023804
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