Estimating function approach for CHARN models

Hiroomi Kanai, Hiroaki Ogata, Masanobu Taniguchi

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1-21
ページ数21
ジャーナルMetron
68
1
DOI
出版ステータスPublished - 2010

ASJC Scopus subject areas

  • 統計学および確率

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