Asymptotic optimality of estimating function estimator for CHARN model

DOI10.1155/2012/515494zbMath1248.91098DBLPjournals/jamds/Amano12OpenAlexW2163128757WikidataQ58697803 ScholiaQ58697803MaRDI QIDQ454457

Tomoyuki Amano

Publication date: 8 October 2012

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/515494

zbMATH Keywords

CHARN modeloptimal estimating function estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Estimating function approach for CHARN models
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• Nonparametric vector autoregression
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• Asymptotic Efficiency of Estimating Function Estimators for Nonlinear Time Series Models
• The foundations of finite sample estimation in stochastic processes
• Statistical analysis for multiplicatively modulated nonlinear autoregressive model and its applications to electrophysiological signal analysis in humans
• An Optimum Property of Regular Maximum Likelihood Estimation
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Estimating functions for nonlinear time series models

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