Article ID Journal Published Year Pages File Type
1147209 Journal of Multivariate Analysis 2009 12 Pages PDF
Abstract

Suppose we observe a time series that alternates between different nonlinear autoregressive processes. We give conditions under which the model is locally asymptotically normal, derive a characterization of efficient estimators for differentiable functionals of the model, and use it to construct efficient estimators for the autoregression parameters and the innovation distributions. Surprisingly, the estimators for the autoregression parameters can be improved if we know that the innovation densities are equal.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
, , ,