The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities (Q2023474)
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scientific article; zbMATH DE number 7342250
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| English | The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities |
scientific article; zbMATH DE number 7342250 |
Statements
The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities (English)
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3 May 2021
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asymmetric Laplace autoregressive process
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exchange rates
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focused model selection
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local asymptotic normality
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quadratic mean differentiability
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robust estimation for stochastic processes
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time series outliers
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von Mises functional calculus
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0.84677655
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0.8408272
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0.8358594
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0.8335284
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