Variance estimation in nonlinear autoregressive time series models

DOI10.1016/J.JSPI.2010.11.010zbMath1204.62155OpenAlexW2036772684MaRDI QIDQ622460

Fuxia Cheng

Publication date: 31 January 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.010

zbMATH Keywords

asymptotic distributionstationary processresidualserror variance estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02)

Cites Work

• Unnamed Item
• On conditional least squares estimation for stochastic processes
• Estimating the density of the residuals in autoregressive models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

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