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Efficient Quasi-likelihood Estimation for Nonlinear Time Series Models and Its Application
- Issue Date
- Apr-2003
- Publisher
- 한국통계학회
- Keywords
- Quasi likelihood estimator; Random Coefficient Autoregressive model; ARCH model; Asymptotic relative efficiency.
- Citation
- Communications for Statistical Applications and Methods, v.10, no.1, pp 101 - 113
- Pages
- 13
- Journal Title
- Communications for Statistical Applications and Methods
- Volume
- 10
- Number
- 1
- Start Page
- 101
- End Page
- 113
- ISSN
- 2287-7843
- Abstract
- Quasi likelihood estimators defined by Wedderburn are derived for several nonlinear time series models. And also, the least squared estimator and Quasi-likelihood estimator are compared in sense of asymptotic relative efficiency at those models. Finally, we apply these estimations to a real data on exchanging rate and stock market prices.
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