Statistical inference for autoregressive models under heteroscedasticity of unknown form
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Publication:2284370
DOI10.1214/18-AOS1775zbMath1436.62444arXiv1804.02348MaRDI QIDQ2284370
Publication date: 15 January 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.02348
adaptive estimatorcovariance matrixheteroscedasticityautoregressive modelwild bootstrapconditional heteroscedasticityweighted least absolute deviations estimator
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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