Quasi-Likelihood Estimation of a Censored Autoregressive Model With Exogenous Variables

DOI10.1080/01621459.2017.1307115zbMath1402.62035OpenAlexW2600377329MaRDI QIDQ4559695

Kung-Sik Chan, Chao Wang

Publication date: 4 December 2018

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2017.1307115

zbMATH Keywords

maximum likelihood estimationtime seriesestimating equationregression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Censored data models (62N01)

Uses Software

• R
• TSA

Cites Work

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• Estimation of Relationships for Limited Dependent Variables
• An empirical process central limit theorem for dependent non-identically distributed random variables
• Computation of multivariate normal and \(t\) probabilities
• Some mixing properties of time series models
• Simulated residuals
• Analysis of time series from mixed distributions
• Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences
• On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
• Regression Analsis with Censored Autocorrelated Data
• Linear regression with censored data
• Asymptotic Statistics
• Regression Analysis when the Dependent Variable Is Truncated Normal
• Censored time series analysis with autoregressive moving average models

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