Local quasi-likelihood approach to varying-coefficient discrete-valued time series models

DOI10.1080/10485250310001634728zbMath1054.62101OpenAlexW2123710142MaRDI QIDQ4470141

Zong-Wu Cai

Publication date: 22 June 2004

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

Full work available at URL: https://doi.org/10.1080/10485250310001634728

zbMATH Keywords

Nonlinear time series analysisAsymptoticsQuasi-likelihoodLocal linear fittingMarkov regression modelsNonparametric Akaike information criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Trending time-varying coefficient time series models with serially correlated errors ⋮ Statistical inference in partially time-varying coefficient models

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