Asymptotic optimal inference for a class of nonlinear time series models

Sun Young Hwang and I. V. Basawa

Stochastic Processes and their Applications, 1993, vol. 46, issue 1, 91-113

Abstract: The local asymptotic normality (LAN) of the log-likelihood ratio for a class of Markovian nonlinear time series models is established using the approach of quadratic mean differentiability. The error process in the models considered is not necessarily Gaussian. As a consequence of the LAN property, asymptotically optimal estimators of the model parameters are derived. Also, asymptotically efficient tests for linearity are constructed. Several examples are discussed as special cases.

Keywords: inference; for; Markov; processes; quadratic; mean; differentiability; Nonlinear; autoregressive; processes; test; for; linearity; efficient; estimation (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (6)

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