ESTIMATION FOR NON‐LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS

A. Thavaneswaran and B. Abraham

Journal of Time Series Analysis, 1988, vol. 9, issue 1, 99-108

Abstract: Godambe's (1985) theorem on optimal estimating equations for stochastic processes is applied to non‐linear time series estimation problems. Examples are considered from the usual classes of non‐linear time series models. A recursive estimation procedure based on optimal estimating equations is provided. It is also shown that pre‐filtered estimates can be used to obtain the optimal estimate from a non‐linear state‐space model.

Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1988.tb00457.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:1:p:99-108

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().