A recursive online algorithm for the estimation of time-varying ARCH parameters (Q2465270)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A recursive online algorithm for the estimation of time-varying ARCH parameters |
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A recursive online algorithm for the estimation of time-varying ARCH parameters (English)
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9 January 2008
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locally stationary
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recursive online algorithms
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time-varying ARCH process
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ANRE algorithm
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mixingale properties
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