Heteroscedasticity-robust estimation of autocorrelation

DOI10.1080/03610918.2017.1408826MaRDI QIDQ5085929zbMATH OpenOpenAlexFDO

Authors Erhard Reschenhofer

Publication date 30 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/03610918.2017.1408826

zbMATH Keywords

bias correctionlocation parameterreturn seriesserial correlationtruncated Cauchy distribution

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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Cited in

(5)

• Experimentation with heteroskedastic noise
• scientific article; zbMATH DE number 1211743 (Why is no real title available?)
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
• Robust and efficient derivative estimation under correlated errors

Describes a project that uses

Uses Software

• zoverw
• R

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