Estimation of weak ARMA models with regime changes
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Publication:1984643
DOI10.1007/s11203-019-09202-3zbMath1436.62432arXiv1801.07902OpenAlexW2963705999MaRDI QIDQ1984643
Landy Rabehasaina, Yacouba Boubacar Maïnassara
Publication date: 7 April 2020
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.07902
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)
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