The estimation of a nonlinear moving average model

P. M. Robinson

Stochastic Processes and their Applications, 1977, vol. 5, issue 1, 81-90

Abstract: We consider discrete-parameter stochastic processes that are the output of a nonlinear filter driven by white noise. For a simple model, we derive estimates of the unknown coefficients in the transfer function and the noise variance, and investigate their asymptotic properties. We prove some lemmas that can also be used to obtain rates of convergence in the weak and strong laws of large numbers, and central limit theorems, for estimates of more general nonlinear models.

Keywords: time; series; nonlinear; moving; average; models; limit; theorems; rates; of; convergence (search for similar items in EconPapers)
Date: 1977
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Citations: View citations in EconPapers (8)

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