Estimation for nonlinear time series models using estimating equations. (English) Zbl 0638.62083

Summary: V. P. Godambe’s theorem [Biometrika 72, 419-428 (1985; Zbl 0584.62135)] on optimal estimating equations for stochastic processes is applied to nonlinear time series estimation problems. Examples are considered from the usual classes of nonlinear time series models. A recursive estimation procedure based on optimal estimating equations is provided. It is also shown that prefiltered estimates can be used to obtain the optimal estimate from a nonlinear state-space model.


62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09 Non-Markovian processes: estimation


Zbl 0584.62135
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