Estimation of Parameters in the NLAR(p) Model

10 Pages Posted: 19 Jun 2008

See all articles by Fukang Zhu

Fukang Zhu

Jilin University-Lambton College (JULC)

Dehui Wang

Jilin University of China; Northeast Normal University

Date Written: 0000

Abstract

In this article, we study a new Laplace autoregressive model of order p NLAR(p). Conditional least squares, weighted conditional least squares and maximum quasi-likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation studies.

Suggested Citation

Zhu, Fukang and Wang, Dehui, Estimation of Parameters in the NLAR(p) Model (0000). Journal of Time Series Analysis, Vol. 29, Issue 4, pp. 619-628, July 2008. Available at SSRN: https://ssrn.com/abstract=1147886 or http://dx.doi.org/10.1111/j.1467-9892.2008.00574.x

Fukang Zhu (Contact Author)

Jilin University-Lambton College (JULC) ( email )

Changchun, Jilin Province 130012
China

Dehui Wang

Jilin University of China ( email )

Changchun, Jilin Province 130012
China

Northeast Normal University

Changchun
China

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