A note on the QMLE limit theory in the non-stationary ARCH(1) model (Q1695669): Difference between revisions
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Revision as of 19:59, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the QMLE limit theory in the non-stationary ARCH(1) model |
scientific article |
Statements
A note on the QMLE limit theory in the non-stationary ARCH(1) model (English)
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7 February 2018
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\(\alpha\)-stable distribution
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slow variation
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domain of attraction
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MLT with mixed limit
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non-stationary ARCH(1)
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QMLE
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inconsistency
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non-tightness
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