Large sample inference based on multiple observations from nonlinear autoregressive processes

DOI10.1016/0304-4149(93)00068-QzbMath0796.62074MaRDI QIDQ1315406

Ishwar V. Basawa, Sun Young Hwang

Publication date: 27 March 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

time seriesWald statisticlimiting distributionsleast squares estimatornonlinear autoregressive modelLAN propertyasymptotically optimal one-step maximum likelihood estimatorthreshold autoregressive model of order 1

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items

Strong convergence of estimators in nonlinear autoregressive models, Large sample estimation in nonstationary autoregressive processes with multiple observations, Local asymptotic normality for multivariate nonlinear AR processes, Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes

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