On adaptive estimation in nonstationary ARMA models with GARCH errors

DOI10.1214/aos/1051027884zbMath1039.62084OpenAlexW2076574277MaRDI QIDQ1429320

Michael McAleer, Shiqing Ling

Publication date: 18 May 2004

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

Full work available at URL: https://doi.org/10.1214/aos/1051027884

zbMATH Keywords

kernel estimatorslimiting distributionefficient estimationadaptive estimationlog-likelihood ratiolocally asymptotic quadraticnonstationary ARMA-GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Functional limit theorems; invariance principles (60F17)

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