Estimation in a class of nonlinear heteroscedastic time series models

DOI10.1214/07-EJS157zbMath1135.62369arXiv0712.1673OpenAlexW3103296803MaRDI QIDQ2426824

Joseph Ngatchou-Wandji

Publication date: 14 May 2008

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.1673

zbMATH Keywords

kernel density estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items

Density estimation for nonlinear parametric models with conditional heteroscedasticity, Variance bounds for estimators in autoregressive models with constraints, Conditional least squares estimation in nonstationary nonlinear stochastic regression models, Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models, QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations, A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models, Estimating function approach for CHARN models, Testing nonstationary and absolutely regular nonlinear time series models

Uses Software

• astsa
• itsmr

Cites Work

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