This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for whether the regression is of a known parametric form indexed by ...
This course is available on the MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial ...
Asymptotically efficient estimators are derived for nonlinear regression parameters when the errors have arisen from an autoregressive series with unknown parameters. An example is given for which ...
1. Difference Equations -- 2. Lag Operators -- 3. Stationary ARMA Processes -- 4. Forecasting -- 5. Maximum Likelihood Estimation -- 6. Spectral Analysis -- 7 ...
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