Estimating the error distribution in multivariate heteroscedastic time-series models
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Publication:2475776
DOI10.1016/j.jspi.2007.07.001zbMath1133.62024OpenAlexW2083714984MaRDI QIDQ2475776
Gunky Kim, Paramsothy Silvapulle, Mervyn J. Silvapullé
Publication date: 11 March 2008
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2007.07.001
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
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