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Nonparametric estimation for some nonlinear models

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  • Thavaneswaran, A.
  • Peiris, Shelton

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].

Suggested Citation

  • Thavaneswaran, A. & Peiris, Shelton, 1996. "Nonparametric estimation for some nonlinear models," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 227-233, July.
    • Handle: RePEc:eee:stapro:v:28:y:1996:i:3:p:227-233
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    References listed on IDEAS

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    1. A. Thavaneswaran & B. Abraham, 1988. "Estimation For Non‐Linear Time Series Models Using Estimating Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(1), pages 99-108, January.
    2. Tjøstheim, Dag, 1986. "Estimation in nonlinear time series models," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 251-273, February.
    3. A. Thavaneswaran & Jagbir Singh, 1993. "A note on smoothed estimating functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(4), pages 721-729, December.
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    1. Thavaneswaran, A. & Peiris, Shelton, 1998. "Hypothesis testing for some time-series models: a power comparison," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 151-156, June.
    2. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "Estimating and simulating Weibull models of risk or price durations: An application to ACD models," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 214-225.
    3. Thavaneswaran, A. & Peiris, Shelton, 2003. "Generalized smoothed estimating functions for nonlinear time series," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 51-56, October.

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