Postmodel selection estimators of variance function for nonlinear autoregression

DOI10.1111/J.1467-9892.2009.00639.XMaRDI QIDQ3077675zbMATH OpenOpenAlexFDO

Authors Piotr Borkowski, Jan Mielniczuk

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00639.x

zbMATH Keywords

maximum likelihoodpseudo-likelihoodKullback-Leibler distanceheavy-tailed datavariance function estimationheteroscedastic autoregression

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 6471962 (Why is no real title available?)
• A regeneration proof of the central limit theorem for uniformly ergodic Markov chains
• A selective overview of nonparametric methods in financial econometrics
• An Effective Bandwidth Selector for Local Least Squares Regression
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotic theory of statistical inference for time series
• Comment: A selective overview of nonparametric methods in financial econometrics
• Efficient estimation of conditional variance functions in stochastic regression
• Functional-Coefficient Autoregressive Models
• General Irreducible Markov Chains and Non-Negative Operators
• Information criteria for selecting possibly misspecified parametric models
• Iterated Random Functions
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Limit theorems for iterated random functions
• Maximum Likelihood Estimation of Misspecified Models
• Pseudo Maximum Likelihood Methods: Theory
• Qualitative threshold ARCH models
• Variance function estimation via model selection

Cited in

(7)

• Adaptive estimation of mean and volatility functions in (auto-)regressive models.
• Order selection for heteroscedastic autoregression: a study on concentration
• Variance estimation in nonlinear autoregressive time series models
• Developing nonparametric conditional heteroscedastic autoregressive nonlinear model by using maximum likelihood method
• Robust estimation of conditional variance of time series using density power divergences
• Adaptive density estimation for general ARCH models
• Variance function estimation via model selection

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