On conditional least squares estimation for stochastic processes

DOI10.1214/aos/1176344207zbMath0383.62055MaRDI QIDQ1248873

Paul I. Nelson, Lawrence A. Klimko

Publication date: 1978

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176344207

Mathematics Subject Classification ID

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

62M05: Markov processes: estimation; hidden Markov models

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