Consistency of a nonparametric least squares estimator in integer-valued GARCH models

DOI10.1080/10485252.2022.2043310zbMath1493.62246arXiv2009.10383OpenAlexW3197625530MaRDI QIDQ5078834

Maximilian Wechsung, Michael H. Neumann

Publication date: 25 May 2022

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.10383

zbMATH Keywords

mixingempirical processnonparametric least squaresINGARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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