Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Note on Adaptive Estimation for Nonlinear Time Series Models

  • Published : 2001.09.01
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Abstract

Adaptive estimators for a class of nonlinear time series models has been proposed by several authors. Koul and Schick(1997) proposed the adaptive estimators without sample splitting for location-type time series models. They also showed by simulation that the adaptive estimators without sample splitting have smaller mean squared errors than those of the adaptive estimators with sample splitting. the present paper generalized the result in a case of location-scale type nonlinear time series models by simulation.

Keywords

References

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