Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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Publication:651027
DOI10.1214/11-AOS895zbMath1227.62076arXiv1201.6216MaRDI QIDQ651027
Publication date: 8 December 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.6216
62F12: Asymptotic properties of parametric estimators
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
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