Estimating function approach for CHARN models

Hiroomi Kanai, Hiroaki Ogata, Masanobu Taniguchi

    Research output: Contribution to journalArticle

    1 Citation (Scopus)

    Abstract

    Godambe (1960,1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efficient estimator, we give the optimal estimating function which entails the asymptotic efficient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.

    Original languageEnglish
    Pages (from-to)1-21
    Number of pages21
    JournalMetron
    Volume68
    Issue number1
    Publication statusPublished - 2010

    Fingerprint

    Estimating Function
    Efficient Estimator
    Nonlinear Time Series Model
    Function Estimation
    Least Squares Estimator
    Maximum Likelihood Estimator
    Numerical Study
    Model

    Keywords

    • Charn model
    • Empirical likelihood
    • Estimating function
    • Mean square error
    • Nonlinear time series model
    • Optimal estimating function

    ASJC Scopus subject areas

    • Statistics and Probability

    Cite this

    Kanai, H., Ogata, H., & Taniguchi, M. (2010). Estimating function approach for CHARN models. Metron, 68(1), 1-21.

    Estimating function approach for CHARN models. / Kanai, Hiroomi; Ogata, Hiroaki; Taniguchi, Masanobu.

    In: Metron, Vol. 68, No. 1, 2010, p. 1-21.

    Research output: Contribution to journalArticle

    Kanai, H, Ogata, H & Taniguchi, M 2010, 'Estimating function approach for CHARN models', Metron, vol. 68, no. 1, pp. 1-21.
    Kanai, Hiroomi ; Ogata, Hiroaki ; Taniguchi, Masanobu. / Estimating function approach for CHARN models. In: Metron. 2010 ; Vol. 68, No. 1. pp. 1-21.
    @article{f5a6533de0894ea7822266a1dbd6e3d0,
    title = "Estimating function approach for CHARN models",
    abstract = "Godambe (1960,1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efficient estimator, we give the optimal estimating function which entails the asymptotic efficient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.",
    keywords = "Charn model, Empirical likelihood, Estimating function, Mean square error, Nonlinear time series model, Optimal estimating function",
    author = "Hiroomi Kanai and Hiroaki Ogata and Masanobu Taniguchi",
    year = "2010",
    language = "English",
    volume = "68",
    pages = "1--21",
    journal = "Metron",
    issn = "0026-1424",
    publisher = "Universita di Roma {"}La Sapienza{"}",
    number = "1",

    }

    TY - JOUR

    T1 - Estimating function approach for CHARN models

    AU - Kanai, Hiroomi

    AU - Ogata, Hiroaki

    AU - Taniguchi, Masanobu

    PY - 2010

    Y1 - 2010

    N2 - Godambe (1960,1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efficient estimator, we give the optimal estimating function which entails the asymptotic efficient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.

    AB - Godambe (1960,1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efficient estimator, we give the optimal estimating function which entails the asymptotic efficient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.

    KW - Charn model

    KW - Empirical likelihood

    KW - Estimating function

    KW - Mean square error

    KW - Nonlinear time series model

    KW - Optimal estimating function

    UR - http://www.scopus.com/inward/record.url?scp=78649890137&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=78649890137&partnerID=8YFLogxK

    M3 - Article

    AN - SCOPUS:78649890137

    VL - 68

    SP - 1

    EP - 21

    JO - Metron

    JF - Metron

    SN - 0026-1424

    IS - 1

    ER -