Estimating functions for nonlinear time series models

DOI10.1023/A:1017924722711zbMath0995.62088OpenAlexW1540114513MaRDI QIDQ5960140

Masanobu Taniguchi, S. Ajay Chandra

Publication date: 11 April 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017924722711

zbMATH Keywords

asymptotic optimalityautoregressive conditonal heteroskedasticity modelsclassical moement estimatorconditional least squares estimatornonlinear time series modelsrandom coefficient autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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