Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models
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Publication:5111785
DOI10.1111/JTSA.12492zbMATH Open1442.62107OpenAlexW2958558794WikidataQ127527943 ScholiaQ127527943MaRDI QIDQ5111785FDOQ5111785
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12492
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
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Cited In (2)
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