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ESTIMATION FOR NON‐LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
Author(s) -
Thavaneswaran A.,
Abraham B.
Publication year - 1988
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1988.tb00457.x
Subject(s) - mathematics , series (stratigraphy) , estimation , linear model , estimation theory , mathematical optimization , statistics , paleontology , management , economics , biology
Godambe's (1985) theorem on optimal estimating equations for stochastic processes is applied to non‐linear time series estimation problems. Examples are considered from the usual classes of non‐linear time series models. A recursive estimation procedure based on optimal estimating equations is provided. It is also shown that pre‐filtered estimates can be used to obtain the optimal estimate from a non‐linear state‐space model.