Estimation in a class of nonlinear heteroscedastic time series models

Details Estimation in a class of nonlinear heteroscedastic time series models Estimation in a class of nonlinear heteroscedastic time series models

2007-12-11

arxiv.org/abs/0712.1673v2

Electronic Journal of Statistics 2008, Vol. 2, 40-62

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/07-EJS157 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/07-EJS157

Parameter estimation in a class of heteroscedastic time series models is investigated. The existence of conditional least-squares and conditional likelihood estimators is proved. Their consistency and their asymptotic normality are established. Kernel estimators of the noise's density and its derivatives are defined and shown to be uniformly consistent. A simulation experiment conducted shows that the estimators perform well for large sample size.

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