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Estimating function approach for CHARN Models

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Summary

Godambe (1960,1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efficient estimator, we give the optimal estimating function which entails the asymptotic efficient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.

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Authors and Affiliations

  1. Department of Applied Mathematics Major in Pure and Applied Mathematics Graduate School of Fundamental Science and Engineering, Waseda Univeresity, Waseda, Japan

    Hiroomi Kanai

  2. School of Business Administration Faculty of Urban Liberal Arts Tokyo Metropolitan University, Tokyo, Japan

    Hiroaki Ogata

  3. Department of Applied Mathematics School of Fundamental Science and Engineering, Waseda University, Waseda, Japan

    Masanobu Taniguchi

Authors
  1. Hiroomi Kanai
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  2. Hiroaki Ogata
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  3. Masanobu Taniguchi
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Correspondence to Hiroaki Ogata.

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Kanai, H., Ogata, H. & Taniguchi, M. Estimating function approach for CHARN Models. METRON 68, 1–21 (2010). https://doi.org/10.1007/BF03263521

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  • DOI: https://doi.org/10.1007/BF03263521

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