Estimation in a class of nonlinear heteroscedastic time series models (Q2426824)

From MaRDI portal

Revision as of 08:22, 30 July 2024 by Openalex240730090724 (talk | contribs) (Set OpenAlex properties.)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Estimation in a class of nonlinear heteroscedastic time series models	scientific article

Statements

scholarly article

0 references

Estimation in a class of nonlinear heteroscedastic time series models (English)

0 references

Joseph Ngatchou-Wandji

0 references

Electronic Journal of Statistics

0 references

publication date

14 May 2008

0 references

full work available at URL

https://arxiv.org/abs/0712.1673

0 references

zbMATH Keywords

kernel density estimation

0 references

describes a project that uses

0 references

0 references

MaRDI profile type

MaRDI publication profile

0 references

The geometric ergodicity and existence of moments for a class of nonlinear time series model

0 references

A consistent test for conditional symmetry in time series models

0 references

The efficiency of the estimators of the parameters in GARCH processes.

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

Time series: theory and methods.

0 references

0 references

Parameter Estimation in Conditional Heteroscedastic Models

0 references

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems

0 references

A crossvalidation method for estimating conditional densities

0 references

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

0 references

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

0 references

WHITTLE ESTIMATION OF ARCH MODELS

0 references

0 references

Inference in Arch and Garch Models with Heavy-Tailed Errors

0 references

Quasi-likelihood and its application. A general approach to optimal parameter estimation

0 references

0 references

Nonparametric Estimation and Symmetry Tests for Conditional Density Functions

0 references

On conditional least squares estimation for stochastic processes

0 references

Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

0 references

Identification of nonlinear time series from first order cumulative characteristics

0 references

Weak convergence of some marked empirical processes: Application to testing heteroscedasticity

0 references

Checking nonlinear heteroscedastic time series models

0 references

Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models

0 references

Least absolute deviations estimation for ARCH and GARCH models

0 references

AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM

0 references

Weak and strong uniform consistency of the kernel estimate of a density and its derivatives

0 references

On necessary and sufficient conditions for uniform strong consistency of estimators of a density and its derivatives

0 references

Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

0 references

Asymptotic theory of statistical inference for time series

0 references

Estimation in nonlinear time series models

0 references

Non-linear time series and Markov chains

0 references

0 references

Identifiers

zbMATH Open document ID

0 references

10.1214/07-EJS157

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2426824

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2426824&oldid=36866239"