Nonparametric estimation for some nonlinear models

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].

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Year of publication:	1996
Authors:	Thavaneswaran, A. ; Peiris, Shelton
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 28.1996, 3, p. 227-233
Publisher:	Elsevier
Keywords:	Nonlinear Nonparametric Estimation Estimating function Autoregressive Random coefficient Kernel

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254134