Generalized ARMA models with martingale difference errors
From MaRDI portal
Publication:888346
DOI10.1016/j.jeconom.2015.03.040zbMath1337.62284MaRDI QIDQ888346
Han Xiao, Rong Chen, Tingguo Zheng
Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.040
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
60G42: Martingales with discrete parameter
62F10: Point estimation
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