Estimating function approach for CHARN Models

被引：0

作者：

Kanai, Hiroomi ^{[1
]}

Ogata, Hiroaki ^{[2
]}

Taniguchi, Masanobu ^{[3
]}

机构：

[1] Waseda Univ, Grad Sch Fundamental Sci & Engn, Dept Appl Math Major Pure & Appl Math, Tokyo, Japan

[2] Tokyo Metropolitan Univ, Fac Urban Liberal Arts, Sch Business Adm, Tokyo, Japan

[3] Waseda Univ, Sch Fundamental Sci & Engn, Dept Appl Math, Tokyo, Japan

来源：

METRON-INTERNATIONAL JOURNAL OF STATISTICS | 2010年 / 68卷 / 01期

关键词：

CHARN model; Empirical likelihood; Estimating function; Mean square error; Nonlinear time series model; Optimal estimating function;

D O I：

暂无

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：

Godambe (1960, 1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efcient estimator, we give the optimal estimating function which entails the asymptotic efcient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.

引用

页码：1 / 21

页数：21

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