Large sample inference based on multiple observations from nonlinear autoregressive processes

  • Huang S
  • Basawa I
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Abstract

A test of homogeneity is derived for testing the quality of the parameters in several independent nonlinear autoregressive processes. Also, the joint limit distribution of the least squares estimators of the parameters based on multiple observations from a threshold autoregressive process is derived when the number of replications of the realization increases and the number of time points remains fixed. The case when the number of time points increases is also considered. © 1994.

Author-supplied keywords

  • least squares estimation
  • local asymptotic normality
  • multiple observations
  • nonlinear time series
  • test of homogeneity
  • threshold autoregressive processes

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Authors

  • Sun Young Huang

  • I. V. Basawa

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