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Efficient Quasi-likelihood Estimation for Nonlinear Time Series Models and Its Application
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 Title & Authors
Efficient Quasi-likelihood Estimation for Nonlinear Time Series Models and Its Application
Kim, Sahmyeong; Cha, Kyungyup; Lee, Sungduck;
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 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.
 Keywords
Quasi likelihood estimator;Random Coefficient Autoregressive model;ARCH model;Asymptotic relative efficiency;
 Language
Korean
 Cited by
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1.
Prediction Intervals for Nonlinear Time Series Models Using the Bootstrap Method, Korean Journal of Applied Statistics, 2004, 17, 2, 219  crossref(new windwow)
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