Publication:3643293

zbMath1191.62149MaRDI QIDQ3643293

Zheng Yan Lin, Jia Chen, Degui Li

Publication date: 11 November 2009

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J19N4/j19n418/j19n418.html

zbMATH Keywords

consistency; asymptotic normality; \(\beta\)-null recurrent Markov chain; cointegration model; local linear M-estimator

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62J05: Linear regression; mixed models

62M05: Markov processes: estimation; hidden Markov models