Asymptotic normality of pseudo-LS estimator for partly linear autoregression models

DOI10.1016/0167-7152(94)00091-LzbMath0818.62076OpenAlexW2022306045MaRDI QIDQ1892111

Hua Liang, J. T. Gao

Publication date: 21 August 1995

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

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00091-l

zbMATH Keywords

nonlinear time series modelasymptotically normal estimatorspartly linear regression modelspiecewise polynomial approximator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection ⋮ Spline estimation of partially linear regression models for time series with correlated errors ⋮ Empirical likelihood-based subset selection for partially linear autoregressive models ⋮ Robust estimators in semiparametric partly linear regression models. ⋮ Average regression surface for dependent data ⋮ Semiparametric Non-Linear Time Series Model Selection ⋮ PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS ⋮ Empirical likelihood confidence regions for autoregressive models with explanatory variables ⋮ Model specification tests in nonparametric stochastic regression models

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• ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM
• An iterated logarithm result for martingales and its application in estimation theory for autoregressive processes
• Convergence of stochastic processes

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