Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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ROBUST ESTIMATION USING QUASI-SCORE ESTIMATING FUNCTIONS FOR NONLINEAR TIME SERIES MODELS

  • Cha, Kyung-Yup (Corporate risk management department, Korea Credit Guarantee Fund) ;
  • Kim, Sah-Myeong (Department of Statistics, ChungAng University) ;
  • Lee, Sung-Duck (Department of Statistics, Chungbuk National University)
  • Published : 2003.12.01
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Abstract

We first introduce the quasi-score estimating function and applied the quasi-score estimating function to nonlinear time series models. We proposed the M quasi-score estimating functions bounded functions for the quasi-score estimating functions. Also, we investigated the asymptotic properties of quasi-likelihood estimators and M quasi-likelihood estimators. Simulation results show that the M quasi-likelihood estimators work better than the least squares estimators under the heavy-tailed distributions

Keywords

References

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