Estimation and Testing Stationarity for Double-Autoregressive Models
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Publication:4665831
DOI10.1111/j.1467-9868.2004.00432.xzbMath1061.62138OpenAlexW2046118718MaRDI QIDQ4665831
Publication date: 11 April 2005
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9868.2004.00432.x
consistencyasymptotic normalityBrownian motionstationarymaximum likelihood estimatorLagrange multiplier testdouble-autoregressive model
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
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