Estimating Functions for Nonlinear Time Series Models
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DOI: 10.1023/A:1017924722711
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- Chandra, S. Ajay & Taniguchi, Masanobu, 2003. "Asymptotics of rank order statistics for ARCH residual empirical processes," Stochastic Processes and their Applications, Elsevier, vol. 104(2), pages 301-324, April.
- Xu, Hai-Yan & Xie, Min & Goh, Thong Ngee & Fu, Xiuju, 2012. "A model for integer-valued time series with conditional overdispersion," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4229-4242.
- Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
- Xinyang Wang & Dehui Wang & Kai Yang, 2021. "Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 713-750, July.
- Fukang Zhu & Dehui Wang, 2011. "Estimation and testing for a Poisson autoregressive model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 73(2), pages 211-230, March.
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Keywords
Nonlinear time series models; random coefficient autoregressive models; autoregressive conditional heteroskedasticity models; conditional least squares estimator; estimating function; classical moment estimator; asymptotic optimality;All these keywords.
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