Contrast estimation of time-varying infinite memory processes

DOI10.1016/j.spa.2022.06.005OpenAlexW3186611529MaRDI QIDQ2169064

Paul Doukhan, Olivier Wintenberger, Jean-Marc Bardet

Publication date: 29 August 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2022.06.005

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (1)

Continuous-time locally stationary time series models

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