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Asymptotic optimal inference for a class of nonlinear time series models

Author

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  • Young Hwang, Sun
  • Basawa, I. V.

Abstract

The local asymptotic normality (LAN) of the log-likelihood ratio for a class of Markovian nonlinear time series models is established using the approach of quadratic mean differentiability. The error process in the models considered is not necessarily Gaussian. As a consequence of the LAN property, asymptotically optimal estimators of the model parameters are derived. Also, asymptotically efficient tests for linearity are constructed. Several examples are discussed as special cases.

Suggested Citation

  • Young Hwang, Sun & Basawa, I. V., 1993. "Asymptotic optimal inference for a class of nonlinear time series models," Stochastic Processes and their Applications, Elsevier, vol. 46(1), pages 91-113, May.
    • Handle: RePEc:eee:spapps:v:46:y:1993:i:1:p:91-113
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    Citations

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    Cited by:

    1. Hwang, Sun Y. & Basawa, I. V., 2001. "Nonlinear time series contiguous to AR(1) processes and a related efficient test for linearity," Statistics & Probability Letters, Elsevier, vol. 52(4), pages 381-390, May.
    2. Hwang, S. Y. & Basawa, I. V., 1997. "The local asymptotic normality of a class of generalized random coefficient autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 34(2), pages 165-170, June.
    3. Kara-Terki, Nesrine & Mourid, Tahar, 2016. "On local asymptotic normality for functional autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 120-140.
    4. Hwang, S. Y. & Woo, Mi-Ja, 2001. "Threshold ARCH(1) processes: asymptotic inference," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 11-20, May.
    5. Hwang, S. Y. & Basawa, I. V., 1999. "Inference for a binary lattice Markov process," Statistics & Probability Letters, Elsevier, vol. 43(1), pages 75-85, May.
    6. Hwang, S.Y. & Basawa, I.V., 2011. "Godambe estimating functions and asymptotic optimal inference," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1121-1127, August.

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