\(L_{p}\)-estimators in ARCH models

DOI10.1016/S0378-3758(02)00488-3zbMath1032.62084MaRDI QIDQ1417811

Lajos Horváth, Friedrich Liese

Publication date: 6 January 2004

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

zbMATH Keywords

\(M\)-estimators; ARCH-models; \(L_1\)-estimator

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62G07: Density estimation

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

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

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