Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149978 | Journal of Statistical Planning and Inference | 2011 | 5 Pages |
Abstract
This paper considers the variance estimation in nonlinear autoregressive time series models. The estimator, based on the residuals, is shown to be consistent (with n rate) for the error variance. The asymptotic distribution of the estimator is obtained to be normal.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Fuxia Cheng,