Density estimation for nonlinear parametric models with conditional heteroscedasticity
From MaRDI portal
Publication:2630164
DOI10.1016/j.jeconom.2009.09.013zbMath1431.62430OpenAlexW2074757936MaRDI QIDQ2630164
Publication date: 25 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.09.013
Bahadur representationFisher informationdensity estimationnonlinear time seriesstationary densitystochastic regressionconditional heteroscedasticitynonparametric kernel density
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
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