Normalized least-squares estimation in time-varying ARCH models

DOI10.1214/07-AOS510zbMath1133.62071arXiv0804.0737MaRDI QIDQ2426622

Theofanis Sapatinas, Suhasini Subba Rao, Piotr Fryzlewicz

Publication date: 23 April 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.0737

zbMATH Keywords

kernel smoothingcross-validation(G)ARCH modelslocally stationary models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

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