Asymptotic Efficiency of Estimating Function Estimators for Nonlinear Time Series Models
نویسندگان
چکیده
منابع مشابه
Estimation for Nonlinear Time Series Models Using Estimating Equations
Godambe's (1985) theorem on optimal estimating eq'uation for stochasti; processes is applied to nonlinear time series estimation problems. Examples are considered from the usual classes of nonlinear time series models. Recursive estimation procedure based on optimal estimating equation is provided. It is also shown that prefiltered estimates can be used to obtain the optimal estimate from a non...
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ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2009
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.39.209