Filtering With Heavy Tails
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Publication:4975563
DOI10.1080/01621459.2014.887011zbMath1368.62251OpenAlexW2002859899MaRDI QIDQ4975563
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Publication date: 7 August 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2014.887011
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35)
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Uses Software
Cites Work
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Robust estimation for ARMA models
- Dynamic Models for Volatility and Heavy Tails
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Robust Statistics
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