Estimation of multivariate non-linear time series models
DOI10.1016/0378-3758(91)90009-4zbMath0746.62092OpenAlexW1998118658MaRDI QIDQ1193965
Bovas Abraham, A. Thavaneswaran
Publication date: 27 September 1992
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-3758(91)90009-4
missing observationstime-varying parametersfunctional estimationnonlinear time series modelsheteroscedastic modelconditional meanoptimal estimating functionlagged dependent variablesautoregressive conditional heteroscedastic modelnonlinear ARCH modelprefiltered optimal approachsimultaneous optimal estimation
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Time series in the time domain
- Using empirical partially Bayes inference for increased efficiency
- Heteroscedasticity in Models with Lagged Dependent Variables
- The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
- The foundations of finite sample estimation in stochastic processes
- Optimal estimation for semimartingales
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
- An Optimum Property of Regular Maximum Likelihood Estimation
