Large sample inference for conditional exponential families with applications to nonlinear time series

DOI10.1016/0378-3758(94)90032-9zbMath0797.62075OpenAlexW2012834931WikidataQ127254593 ScholiaQ127254593MaRDI QIDQ1330176

Sun Young Hwang, Ishwar V. Basawa

Publication date: 25 October 1994

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(94)90032-9

zbMATH Keywords

transition densitysimulationsefficient estimationasymptotically optimal testsnonlinear time seriesLAN propertyconditional exponential familyasymptotically optimal estimatorslocal asymptotic normality of the log-likelihood ratiorandom coefficient exponential autoregressive modelsrandom coefficient threshold autoregressive modelsstationary ergodic Markov process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Asymptotic properties of parametric tests (62F05)

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