Estimating the density of the residuals in autoregressive models

DOI10.1023/A:1009924821271zbMath0956.62032OpenAlexW1576888679MaRDI QIDQ1580836

Eckhard Liebscher

Publication date: 11 March 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009924821271

zbMATH Keywords

asymptotic normalityautoregressive modelkernel estimatorresiduals

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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