[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2003.10.1.101

Efficient Quasi-likelihood Estimation for Nonlinear Time Series Models and Its Application

Kim, Sahmyeong (Department of Statistics, Chung-Ang University)
Cha, Kyungyup (Corporate risk management department, Korea Credit Gurantee Fund)
Lee, Sungduck (Department of Statistics, Chungbuk National University)

Publication Information

Communications for Statistical Applications and Methods / v.10, no.1, 2003 , pp. 101-113 More about this Journal

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;

Citations & Related Records

Reference

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