• Title of article

    Variance estimation in nonlinear autoregressive time series models

  • Author/Authors

    Cheng، نويسنده , , Fuxia، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2011
  • Pages
    5
  • From page
    1588
  • To page
    1592
  • Abstract
    This paper considers the variance estimation in nonlinear autoregressive time series models. The estimator, based on the residuals, is shown to be consistent (with n rate) for the error variance. The asymptotic distribution of the estimator is obtained to be normal.
  • Keywords
    Residuals , Error variance estimation , Asymptotic distribution , Stationary process
  • Journal title
    Journal of Statistical Planning and Inference
  • Serial Year
    2011
  • Journal title
    Journal of Statistical Planning and Inference
  • Record number

    2221296

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=2221296