Robust estimation of conditional variance of time series using density power divergences

DOI10.1002/FOR.2465MaRDI QIDQ4687630zbMATH OpenOpenAlexFDO

Authors Jin-Hong Park, T. N. Sriram

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2465

zbMATH Keywords

ARCH-type modelsdimension reductionestimating functionsoptimal estimatortuning parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(3)

• On the `optimal' density power divergence tuning parameter
• Dimension reduction in time series under the presence of conditional heteroscedasticity
• Robust and efficient parameter estimation for discretely observed stochastic processes

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