文章基本信息

标题：ESTIMATION FOR NONLINEAR AUTOREGRESSIVE MODELS GENERATED BY BETA-ARCH PROCESSES
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作者：S.Y. HWANG ; Sookmyung Women's University, Seoul, Korea ; I.V. BASAWA 等
期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2003
卷号：65
期号：04
出版社：Indian Statistical Institute
摘要：Two methods of parameter estimation for a general nonlinear autoregressive process with beta-ARCH innovations are discussed and the large sample properties of the estimators for each method are derived. The first method is based on iterated least squares which is also related to the quasilikelihood method. The maximum likelihood method is discussed next, via the local asymptotic normality and its connection to optimal estimating functions is explained.
关键词：ARCH models, nonlinear time series, ergodicity, asymptotic normality, LAN property, maximum likelihood estimation, quasilikelihood.