Nonlinear least squares estimation of the periodic EXPAR(1) model

被引：0
|
作者：
Becila, S. [1 ]
Merzougui, M. [1 ]
机构：
[1] Univ Badji Mokhtar Annaba, LaPS Lab, Annaba, Algeria
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2022年 / 51卷 / 15期
关键词：
Nonlinear time series; periodic exponential autoregressive model; nonlinear least squares; asymptotic normality; consistency;
D O I：
10.1080/03610926.2020.1839099
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：
In this paper, we study the strong consistency and asymptotic normality properties of nonlinear least squares (NLS) estimator of the periodic EXPAR(1) model. The general statistical literature on estimation of nonlinear models of Gallant and White is used. Simulation study and one real example are given to assess the performance of this NLS.
引用
收藏
页码：5369 / 5381
页数：13
相关论文
共 50 条
  • [21] A Parameter Estimation Method using Nonlinear Least Squares
    Oh, Suna
    Song, Jongwoo
    KOREAN JOURNAL OF APPLIED STATISTICS, 2013, 26 (03) : 431 - 440
  • [22] Second-order nonlinear least squares estimation
    Liqun Wang
    Alexandre Leblanc
    Annals of the Institute of Statistical Mathematics, 2008, 60 : 883 - 900
  • [23] Augmented Nonlinear Least Squares Estimation With Applications to Localization
    Li, Qin
    Lan, Jian
    Zhang, Le
    Chen, Badong
    Zhu, Kaijian
    IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, 2022, 58 (02) : 1042 - 1054
  • [24] Non recursive Nonlinear Least Squares for periodic signal fitting
    Giarnetti, S.
    Leccese, F.
    Caciotta, M.
    MEASUREMENT, 2017, 103 : 208 - 216
  • [25] Surface fitting and parameter estimation with nonlinear least squares
    Umea Univ, Umea, Sweden
    Optim Method Software, 3 (247-269):
  • [26] LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY
    Wang, Qiying
    ECONOMETRIC THEORY, 2021, 37 (06) : 1267 - 1289
  • [27] Estimation and inference in unstable nonlinear least squares models
    Boldea, Otilia
    Hall, Alastair R.
    JOURNAL OF ECONOMETRICS, 2013, 172 (01) : 158 - 167
  • [28] Sieve least squares estimation for partially nonlinear models
    Song, Lixin
    Zhao, Yue
    Wang, Xiaoguang
    STATISTICS & PROBABILITY LETTERS, 2010, 80 (17-18) : 1271 - 1283
  • [29] On Least Squares Estimation for Stable Nonlinear AR Processes
    Jian-Feng Yao
    Annals of the Institute of Statistical Mathematics, 2000, 52 : 316 - 331
  • [30] Parametric Least Squares Estimation for Nonlinear Satellite Channels
    Xiao, Lei
    Cottatellucci, Laura
    2012 IEEE VEHICULAR TECHNOLOGY CONFERENCE (VTC FALL), 2012,
12345