Nonparametric estimation for some nonlinear models

A. Thavaneswaran and Shelton Peiris

Statistics & Probability Letters, 1996, vol. 28, issue 3, 227-233

Abstract: Godambe's (1985) theorem on optimal estimating equations for stochastic processes is applied to nonparametric estimation problems for nonlinear time-series models with time-varying parameter [alpha](t). Examples are considered from the usual classes of nonlinear time-series models. The goal of this paper is to arrive at a nonparametric estimate of [theta]0 = [alpha](t0) for a fixed point t0 [epsilon] [0, 1].

Keywords: Nonlinear; Nonparametric; Estimation; Estimating; function; Autoregressive; Random; coefficient; Kernel (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (3)

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