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Large sample inference based on multiple observations from nonlinear autoregressive processes

Author

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  • Huang, Sun Young
  • Basawa, I. V.

Abstract

A test of homogeneity is derived for testing the quality of the parameters in several independent nonlinear autoregressive processes. Also, the joint limit distribution of the least squares estimators of the parameters based on multiple observations from a threshold autoregressive process is derived when the number of replications of the realization increases and the number of time points remains fixed. The case when the number of time points increases is also considered.

Suggested Citation

  • Huang, Sun Young & Basawa, I. V., 1994. "Large sample inference based on multiple observations from nonlinear autoregressive processes," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 127-140, January.
    • Handle: RePEc:eee:spapps:v:49:y:1994:i:1:p:127-140
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    Cited by:

    1. Liebscher, Eckhard, 2003. "Strong convergence of estimators in nonlinear autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 84(2), pages 247-261, February.

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