Non-linear time series regression
1971 ◽
Vol 8
(04)
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pp. 767-780
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Keyword(s):
In Jennrich (1969) the modelis considered, wherex(n) is a sequence of i.i.d. (0,σ2) random variables andz(n;θ) is a continuous but possibly non-linear function ofθ∈Θ, Θ being a compact set inRp. We shall use a second subscript when referring to a particular coordinate ofθ0so thatθ0jis thejth coordinate. Jennrich establishes, under suitable conditions onz(n;θ) andx(n), the strong consistency and asymptotic normality of the least squares estimates ofθ.Our main purpose here is to extend these results to the case wherex(n) is generated by a stationary time series.
2020 ◽
Keyword(s):
2014 ◽
Vol 41
(2)
◽
pp. 249-258
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Keyword(s):
Keyword(s):
2013 ◽
Vol 7
(3)
◽
pp. 298
◽
2017 ◽
Vol 46
(21)
◽
pp. 10394-10415
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