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
收藏
页码：1588 / 1592
页数：5
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