A nonlinear time series model and estimation of missing observations

DOI10.1007/BF00053368zbMath0760.62084OpenAlexW2046895501MaRDI QIDQ1206609

Bovas Abraham, A. Thavaneswaran

Publication date: 1 April 1993

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00053368

zbMATH Keywords

predictionrobustnessKalman filteroptimal estimatesnonlinear time series modellinear time series modelARCH-modelsautoregressive conditionally heteroscedastic modelestimating equation theoryestimating missing observationsfixed point smoothing algorithms

Mathematics Subject Classification ID

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

Related Items (17)

Resampling time series using missing values techniques ⋮ Optimization methods in time series interpolation ⋮ SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS ⋮ Generalized least squares estimation of multivariate nonlinear models with missing data ⋮ A recursive approach for estimating missing observations in an univariate time series ⋮ RCA model with quadratic GARCH innovation distribution ⋮ Doubly stochastic models with GARCH innovations ⋮ Properties of a new family of volatility sign models ⋮ Fuzzy coefficient volatility (FCV) models with applications ⋮ Recent developments in volatility modeling and applications ⋮ Random coefficient volatility models ⋮ Combining estimating functions for volatility ⋮ Parameter Estimation in Conditional Heteroscedastic Models ⋮ RCA models with GARCH innovations ⋮ On some properties of autoregressive conditional Poisson (ACP) models ⋮ Forecasting volatility ⋮ Random coefficient GARCH models

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• 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

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