Local polynomial estimation with a FARIMA-GARCH error process
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Publication:5950042
DOI10.2307/3318539zbMath0985.62033OpenAlexW2038153839MaRDI QIDQ5950042
Publication date: 23 May 2002
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-3178
asymptotic normalitymartingaleslong memoryFARIMA-GARCH processlocal polynomial estimationsemi-parametric models
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)
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