DTIC ADA145614: Estimation in Nonlinear Time Series pdf

DTIC ADA145614: Estimation in Nonlinear Time Series

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Description of the Book:

A general framework for analyzing estimates in nonlinear time series models is developed. Ergodic strictly stationary series are treated. General conditions for strong consistency and asymptotic normality are derived both for conditional least squares and maximum likelihood type estimates. Examples are taken from exponential autoregressive, random coefficient autoregressive and bilinear time series models. Some nonstationary models and examples are treated in a sequel to this paper. (Author

• Creator/s: Defense Technical Information Center
• Date: 7/1/1980
• Year: 1980
• Book Topics/Themes: DTIC Archive, Tjoestheim, D, NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PRECESSES, *TIME SERIES ANALYSIS, MATHEMATICAL MODELS, ESTIMATES, LEAST SQUARES METHOD, ASYMPTOTIC NORMALITY

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