Semiparametric estimation in the (auto)-regressive \(\beta\)-mixing model with errors-in-variables

zbMath1005.62036MaRDI QIDQ1856443

Marie-Luce Taupin, Fabienne Comte

Publication date: 10 February 2003

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

autoregressionstochastic volatility modelerrors-in-variables modelabsolutely regular variables

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02)

Related Items (4)

Adaptive estimation of the dynamics of a discrete time stochastic volatility model ⋮ Parametric estimation of hidden stochastic model by contrast minimization and deconvolution ⋮ New \(M\)-estimators in semi-parametric regression with errors in variables ⋮ Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

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