Adaptive estimation of autoregressive models with time-varying variances (Q290952): Difference between revisions

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-Ke-Li Xu
@@ Property / author: Ke-Li Xu / rank @@
-Normal rank
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+Ke-Li Xu
@@ Property / author: Ke-Li Xu / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G07
@@ Property / Mathematics Subject Classification ID: 62G07 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 62G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6589307
@@ Property / zbMATH DE Number: 6589307 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+adaptive estimation
@@ Property / zbMATH Keywords: adaptive estimation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+autoregression
@@ Property / zbMATH Keywords: autoregression / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+heterogeneity
@@ Property / zbMATH Keywords: heterogeneity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nonstationary volatility
@@ Property / zbMATH Keywords: nonstationary volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weighted regression
@@ Property / zbMATH Keywords: weighted regression / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W3125437539
@@ Property / OpenAlex ID: W3125437539 / rank @@
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@@ Property / cites work @@
+Inferences about the parameters of a time series model with changing variance
+Normal rank
@@ Property / cites work @@
+LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
+Normal rank
@@ Property / cites work @@
+Estimating and Testing Linear Models with Multiple Structural Changes
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@@ Property / cites work @@
+Q5186589
@@ Property / cites work: Q5186589 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Q3827448
@@ Property / cites work: Q3827448 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapting for heteroscedasticity in linear models
@@ Property / cites work: Adapting for heteroscedasticity in linear models / rank @@
+Normal rank
@@ Property / cites work @@
+Testing stationarity under a permanent variance shift
+Normal rank
@@ Property / cites work @@
+Unit Root Tests under Time-Varying Variances
@@ Property / cites work: Unit Root Tests under Time-Varying Variances / rank @@
+Normal rank
@@ Property / cites work @@
+Nonstationary nonlinear heteroskedasticity in regression
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+Nonparametric inference on structural breaks
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+Normal rank
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+Q3281479
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+Normal rank
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Efficient estimation of conditional variance functions in stochastic regression
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+An Optimum Property of Regular Maximum Likelihood Estimation
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+Testing for a unit root in the presence of a variance shift
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+Regression with Nonstationary Volatility
@@ Property / cites work: Regression with Nonstationary Volatility / rank @@
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+EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
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+On the Stable Paretian Behavior of Stock-Market Prices
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+Unit root tests with a break in innovation variance.
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+Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
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+EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH  CONDITIONAL HETEROSKEDASTICITY
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+The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
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+Change-points in nonparametric regression analysis
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+ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED  TIME SERIES
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+Nonlinear Regressions with Integrated Time Series
@@ Property / cites work: Nonlinear Regressions with Integrated Time Series / rank @@
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+Inference in Autoregression under Heteroskedasticity
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+Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
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+Q4861446
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+On the consistency of cross-validation in kernel nonparametric regression
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+Kernel-type estimators of jump points and values of a regression function
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+Detection of the number, locations and magnitudes of jumps
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+Likelihood-Based Local Linear Estimation of the Conditional Variance Function
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:290952