Adaptive estimation in time-series models

DOI10.1214/aos/1031833674zbMath0941.62093OpenAlexW3023990694MaRDI QIDQ1359426

Feike C. Drost, Bas J. M. Werker, Chris A. J. Klaassen

Publication date: 2 August 2000

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

Full work available at URL: https://doi.org/10.1214/aos/1031833674

zbMATH Keywords

adaptive estimation semiparametrics LAN in time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Robustness and adaptive procedures (parametric inference) (62F35)

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