Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares

Computational Statistics and Data Analysis

Volumn 24, Issue 2, 1997, Pages 169-178

  Mak, T K ^a   Wong, H ^b   Li, W K ^c  

^a Gina Cody School of Engineering and Computer Science   (Canada)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Autoregressive conditional heteroscedasticity; Iteratively weighted least squares; Maximum likelihood estimation; Nonlinear time series models

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; COMPUTER SIMULATION; FUNCTIONS; ITERATIVE METHODS; LEAST SQUARES APPROXIMATIONS; NONLINEAR EQUATIONS; PARAMETER ESTIMATION;

BHHH ALGORITHMS; HETEROSCEDASTIC VARIANCES; ITERATIVELY WEIGHTED LEAST SQUARES (IWLS) ALGORITHM; MAXIMUM LIKELIHOOD ESTIMATION;

TIME SERIES ANALYSIS;

HETEROSCEDASTICITY; ITERATIVELY WEIGHTED; LEAST SQUARES METHOD; MAXIMUM LIKELIHOOD; TIME SERIES;

EID: 0031550927     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(96)00060-6     Document Type: Article

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