IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v5y1977i1p81-90.html
   My bibliography  Save this article

The estimation of a nonlinear moving average model

Author

Listed:
  • Robinson, P. M.

Abstract

We consider discrete-parameter stochastic processes that are the output of a nonlinear filter driven by white noise. For a simple model, we derive estimates of the unknown coefficients in the transfer function and the noise variance, and investigate their asymptotic properties. We prove some lemmas that can also be used to obtain rates of convergence in the weak and strong laws of large numbers, and central limit theorems, for estimates of more general nonlinear models.

Suggested Citation

  • Robinson, P. M., 1977. "The estimation of a nonlinear moving average model," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 81-90, February.
    • Handle: RePEc:eee:spapps:v:5:y:1977:i:1:p:81-90
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(77)90052-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Artem Prokhorov, 2008. "Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian)," Quantile, Quantile, issue 4, pages 79-92, March.
    2. Ke Zhu & Shiqing Ling, 2015. "LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
    3. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
    4. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
    5. Ren, Fei & Tian, Chenlu & Zhang, Guiqing & Li, Chengdong & Zhai, Yuan, 2022. "A hybrid method for power demand prediction of electric vehicles based on SARIMA and deep learning with integration of periodic features," Energy, Elsevier, vol. 250(C).
    6. Ventosa-Santaulària, Daniel & Mendoza V., Alfonso, 2005. "Non Linear Moving-Average Conditional Heteroskedasticity," MPRA Paper 58769, University Library of Munich, Germany.
    7. Deepanshu Sharma & Kritika Phulli, 2020. "Forecasting and Analyzing the Military Expenditure of India Using Box-Jenkins ARIMA Model," Papers 2011.06060, arXiv.org.
    8. Daniel Ventosa-Santaulària & Alfonso Mendoza Velázquez & Manuel Gómez-Zaldívar, 2008. "Varianza condicional de medias móviles no-lineales," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 29-48, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:5:y:1977:i:1:p:81-90. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.