A bound for estimation in nonlinear time series models by independence testing methods

DOI10.1016/0167-7152(88)90067-3zbMath0635.62086OpenAlexW2032272404MaRDI QIDQ1097618

Andrey Feuerverger

Publication date: 1988

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(88)90067-3

zbMATH Keywords

boundnonlinear time series modelasymptotic efficiency of estimatestesting for independence of the estimated residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Cites Work

• On Some Fourier Methods for Inference
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