90 citations · 330 across the 9 of their papers we have counts for
8 papers · 1 filter
Inference for a Special Bilinear Time Series Model
Shiqing Ling, Liang Peng, Fukang Zhu
It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do infer…
On moving-average models with feedback
Dong Li, Shiqing Ling, Howell Tong
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic ca…
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA--GARCH/IGARCH models
Ke Zhu, Shiqing Ling
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA--GARCH models. Under only a fractional moment condition, the s…
On non-stationary threshold autoregressive models
Weidong Liu, Shiqing Ling, Qi-Man Shao
In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the…
Residual empirical processes for long and short memory time series
Ngai Hang Chan, Shiqing Ling
This paper studies the residual empirical process of long- and short-memory time series regression models and establishes its uniform expansion under a general framework. The resul…
Testing for change points in time series models and limiting theorems for NED sequences
Shiqing Ling
This paper first establishes a strong law of large numbers and a strong invariance principle for forward and backward sums of near-epoch dependent sequences. Using these limiting t…