Nonparametric estimation for some nonlinear models

DOI10.1016/0167-7152(95)00128-XzbMath0897.62041OpenAlexW2049213790MaRDI QIDQ1922244

A. Thavaneswaran, M. Shelton Peiris

Publication date: 15 September 1996

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

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00128-x

zbMATH Keywords

kernelautoregressiveestimating functionrandom coefficientnonlinear time-series models

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Hypothesis testing for some time-series models: a power comparison ⋮ Generalized smoothed estimating functions for nonlinear time series. ⋮ Smoothed estimates for models with random coefficients and infinite variance innovations ⋮ Estimation for regression with infinite variance errors ⋮ Recursive estimation for regression with infinite variance fractional ARIMA noise

Cites Work

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• Estimation in nonlinear time series models
• Using empirical partially Bayes inference for increased efficiency
• A note on smoothed estimating functions
• The foundations of finite sample estimation in stochastic processes
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• An Optimum Property of Regular Maximum Likelihood Estimation
• The Kernel Estimate of a Regression Function in Likelihood-Based Models

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