Kernel autocorrelogram for time-deformed processes

DOI10.1016/S0378-3758(97)00140-7zbMATH Open0944.62073MaRDI QIDQ1299537FDOQ1299537

Authors: Eric Ghysels, Christian Gouriéroux, J. Jasiak 

Publication date: 23 August 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (5)

• Title not available (Why is that?)
• Estimation on unevenly spaced time series
• Truncated dynamics and estimation of diffusion equations
• Time Deformation, Continuous Euler Processes and Forecasting
• Spectral analysis for intrinsic time processes

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