Variance estimation in nonlinear autoregressive time series models

被引：1

作者：

Cheng, Fuxia ^{[1
]}

机构：

[1] Illinois State Univ, Dept Math, Normal, IL 61790 USA

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2011年 / 141卷 / 04期

关键词：

Residuals; Error variance estimation; Asymptotic distribution; Stationary process;

D O I：

10.1016/j.jspi.2010.11.010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers the variance estimation in nonlinear autoregressive time series models. The estimator, based on the residuals, is shown to be consistent (with root n rate) for the error variance. The asymptotic distribution of the estimator is obtained to be normal. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：1588 / 1592

页数：5

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