scientific article; zbMATH DE number 6471962

zbMATH Open1318.93086MaRDI QIDQ5500928FDOQ5500928

Authors: Piotr Borkowski, Jan Mielniczuk 

Publication date: 10 August 2015

Title of this publication is not available (Why is that?)

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zbMATH Keywords

heteroscedasticitybandwidthvolatilityautoregressive processvariance functionintegrated squared errordifference-based estimatorgeometric moment contractionlocal linear and local maximum likelihood estimator

Mathematics Subject Classification ID

Sampled-data control/observation systems (93C57) Estimation and detection in stochastic control theory (93E10)

Cited In (3)

• Postmodel selection estimators of variance function for nonlinear autoregression
• Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models
• Variance estimation in nonlinear autoregressive time series models

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