On estimating the cumulant generating function of linear processes
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Publication:2502138
DOI10.1007/s10463-005-0009-5zbMath1095.62105OpenAlexW2163068004MaRDI QIDQ2502138
Publication date: 12 September 2006
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://www.dora.lib4ri.ch/wsl/islandora/object/wsl%3A6028
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)
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