Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices

DOI10.1111/1468-0262.00115zbMath1016.62030OpenAlexW2051157494MaRDI QIDQ4530970

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Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/portal/en/publications/consistency-of-kernel-estimators-of-heteroscedastic-and-autocorrelated-covariance-matrices(482efe95-3738-4a9f-b833-eb728c9119f9).html

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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