A Robbins–Monro Algorithm for Non‐Parametric Estimation of NAR Process with Markov Switching: Consistency
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Publication:4596425
DOI10.1111/jtsa.12237zbMath1416.62197arXiv1407.3747OpenAlexW3125234347MaRDI QIDQ4596425
Lisandro J. Fermín, Luis-Angel Rodríguez, Ricardo Rios
Publication date: 1 December 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.3747
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Sample path properties (60G17)
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