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On Least Squares Estimation for Stable Nonlinear AR Processes

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  • Jian-Feng Yao

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  • Jian-Feng Yao, 2000. "On Least Squares Estimation for Stable Nonlinear AR Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(2), pages 316-331, June.
    • Handle: RePEc:spr:aistmt:v:52:y:2000:i:2:p:316-331
    DOI: 10.1023/A:1004117906532
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    References listed on IDEAS

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    1. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
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    Cited by:

    1. Kaiyu Liang & Yong Zhang, 2024. "Almost Sure Central Limit Theorem for Error Variance Estimator in Pth-Order Nonlinear Autoregressive Processes," Mathematics, MDPI, vol. 12(10), pages 1-16, May.
    2. Zhao, Zhibiao, 2010. "Density estimation for nonlinear parametric models with conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 155(1), pages 71-82, March.
    3. Joseph Rynkiewicz, 2016. "Asymptotics for Regression Models Under Loss of Identifiability," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(2), pages 155-179, August.

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