Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
권호 표지
DOI QR코드

DOI QR Code

Efficient Quasi-likelihood Estimation for Nonlinear Time Series Models and Its Application

  • Kim, Sahmyeong (Department of Statistics, Chung-Ang University) ;
  • Cha, Kyungyup (Corporate risk management department, Korea Credit Gurantee Fund) ;
  • Lee, Sungduck (Department of Statistics, Chungbuk National University)
  • Published : 2003.04.01
Download PDF
⟨ Previous Next ⟩

Abstract

Quasi likelihood estimators defined by Wedderburn are derived for several nonlinear time series models. And also, the least squared estimator and Quasi-likelihood estimator are compared in sense of asymptotic relative efficiency at those models. Finally, we apply these estimations to a real data on exchanging rate and stock market prices.

Keywords

References

  1. Journal of Econometrics v.31 Generalized Autoregressive Conditional Heteroscadastic Bollerslev, T. https://doi.org/10.1016/0304-4076(86)90063-1
  2. Journal of American Statistical Association v.81 Robust Estimates for ARMA Models Bustos, O. H.;Yohai, V. J. https://doi.org/10.2307/2287983
  3. Journal of American Statistical Association v.74 Robust Estimation of the First-Order Autoregressive Parameter Denby, L.;Martin, R. D. https://doi.org/10.2307/2286743
  4. Econometrica v.50 Autoregressive Conditional Heteroscadastic with estimates of the variance of U.K. inflation Engle, R. F. https://doi.org/10.2307/1912773
  5. The Annals of Mathematical Statistics v.31 An optimum property of regular maximum likelihood estimation equation Godambe, V. P. https://doi.org/10.1214/aoms/1177705693
  6. Biometrica v.72 The foundation of finite sample estimation in stochastic processes Godambe, V. P. https://doi.org/10.1093/biomet/72.2.419
  7. Matringale Limit Theory and Application Hall, P.;Heyde, C. C.
  8. The Annals of Mathematical Statistics v.35 Robust Estimation of a Location Parameter Huber, P. J. https://doi.org/10.1214/aoms/1177703732
  9. Lecture Note in Statistics no.11 Random Coefficient Autoregressive Models; An Introduction Nicholls, D. F.;Quinn, B. G.
  10. Biometrika v.61 Quasi-likelihood functions, generalized linear models and the Gauss-Newton method Wedderburn, R. P. M.

Cited by

  1. Prediction Intervals for Nonlinear Time Series Models Using the Bootstrap Method vol.17, pp.2, 2004, https://doi.org/10.5351/KJAS.2004.17.2.219