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Estimation For Non‐Linear Time Series Models Using Estimating Equations

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  • A. Thavaneswaran
  • B. Abraham

Abstract

Godambe's (1985) theorem on optimal estimating equations for stochastic processes is applied to non‐linear time series estimation problems. Examples are considered from the usual classes of non‐linear time series models. A recursive estimation procedure based on optimal estimating equations is provided. It is also shown that pre‐filtered estimates can be used to obtain the optimal estimate from a non‐linear state‐space model.

Suggested Citation

  • A. Thavaneswaran & B. Abraham, 1988. "Estimation For Non‐Linear Time Series Models Using Estimating Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(1), pages 99-108, January.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:1:p:99-108
    DOI: 10.1111/j.1467-9892.1988.tb00457.x
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    Cited by:

    1. Zhang, Yaohua & Zou, Jian & Ravishanker, Nalini & Thavaneswaran, Aerambamoorthy, 2019. "Modeling financial durations using penalized estimating functions," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 145-158.
    2. Liang, Y. & Thavaneswaran, A. & Ravishanker, N., 2013. "RCA models: Joint prediction of mean and volatility," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 527-533.
    3. Thavaneswaran, A. & Liang, You & Frank, Julieta, 2012. "Inference for random coefficient volatility models," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2086-2090.
    4. Thavaneswaran, A. & Peiris, Shelton, 1996. "Nonparametric estimation for some nonlinear models," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 227-233, July.
    5. Thavaneswaran, A. & Peiris, Shelton, 1998. "Hypothesis testing for some time-series models: a power comparison," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 151-156, June.
    6. S. Chandra & Masanobu Taniguchi, 2001. "Estimating Functions for Nonlinear Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 125-141, March.
    7. Thavaneswaran, A. & Peiris, S. & Appadoo, S., 2008. "Random coefficient volatility models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 582-593, April.
    8. Aerambamoorthy Thavaneswaran & Nalini Ravishanker & You Liang, 2015. "Generalized duration models and optimal estimation using estimating functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 129-156, February.
    9. Thavaneswaran, A. & Peiris, Shelton, 2003. "Generalized smoothed estimating functions for nonlinear time series," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 51-56, October.

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