Nonlinear least squares estimation of the periodic EXPAR(1) model

DOI10.1080/03610926.2020.1839099OpenAlexW3095732015MaRDI QIDQ5093721

S. Becila, M. Merzougui

Publication date: 1 August 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1839099

zbMATH Keywords

consistencyasymptotic normalitynonlinear time seriesnonlinear least squaresperiodic exponential autoregressive model

Mathematics Subject Classification ID

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

Cites Work

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• Estimation in nonlinear time series models
• On conditional least squares estimation for stochastic processes
• Efficient estimation in nonlinear autoregressive time-series models
• Fitting EXPAR models through the extended Kalman filter
• Test for periodicity in restrictive EXPAR models
• Optimal Detection of Exponential Component in Autoregressive Models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Non-linear time series models for non-linear random vibrations
• Topics in Advanced Econometrics
• Estimation in periodic restricted EXPAR(1) models
• The Lindeberg-Levy Theorem for Martingales

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