Asymptotic Efficiency of Estimating Function Estimators for Nonlinear Time Series Models

DOI10.14490/JJSS.39.209zbMath1248.62139OpenAlexW2154378294MaRDI QIDQ2919541

Tomoyuki Amano

Publication date: 4 October 2012

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=39_2_209&screenID=AF06S010&noVol=39&noIssue=2

zbMATH Keywords

local asymptotic normalityestimating functionconditional least squares estimatorGARCH modelnonlinear AR model

Mathematics Subject Classification ID

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

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