Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
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Publication:1392035
DOI10.1016/S0167-9473(96)00060-6zbMath0900.62467MaRDI QIDQ1392035
Publication date: 23 July 1998
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Maximum likelihood estimationAutoregressive conditional heteroscedasticityIteratively weighted least squaresNonlinear time series models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
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