Estimating the innovation distribution in nonlinear autoregressive models

DOI10.1023/A:1022413700321zbMath1013.62092OpenAlexW1517114861MaRDI QIDQ1868289

Anton Schick, Wolfgang Wefelmeyer

Publication date: 27 April 2003

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022413700321

zbMATH Keywords

semiparametric modelsinfluence functionsMarkov chain modelsempirical estimatorsconstrained models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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