Postmodel selection estimators of variance function for nonlinear autoregression

DOI10.1111/j.1467-9892.2009.00639.xzbMath1242.62094OpenAlexW1697224349MaRDI 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 estimationmaximum likelihoodpseudo-likelihoodKullback-Leibler distanceheavy-tailed dataheteroscedastic autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

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