Postmodel selection estimators of variance function for nonlinear autoregression

DOI10.1111/j.1467-9892.2009.00639.xzbMath1242.62094MaRDI QIDQ3077675

Jan Mielniczuk, Piotr Borkowski

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00639.x

zbMATH Keywords

variance function estimation; maximum likelihood; pseudo-likelihood; Kullback-Leibler distance; heavy-tailed data; heteroscedastic autoregression

Mathematics Subject Classification ID

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

62J02: General nonlinear regression

Cites Work

• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Qualitative threshold ARCH models
• Asymptotic theory of statistical inference for time series
• Information criteria for selecting possibly misspecified parametric models
• A selective overview of nonparametric methods in financial econometrics
• Comment: A selective overview of nonparametric methods in financial econometrics
• Variance function estimation via model selection
• An Effective Bandwidth Selector for Local Least Squares Regression
• General Irreducible Markov Chains and Non-Negative Operators
• Pseudo Maximum Likelihood Methods: Theory
• Efficient estimation of conditional variance functions in stochastic regression
• Iterated Random Functions
• Functional-Coefficient Autoregressive Models
• Limit theorems for iterated random functions
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Asymptotic Properties of Non-Linear Least Squares Estimators
• A regeneration proof of the central limit theorem for uniformly ergodic Markov chains
• Maximum Likelihood Estimation of Misspecified Models