Asymmetric linear double autoregression
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Publication:5095288
DOI10.1111/jtsa.12618OpenAlexW3195679582MaRDI QIDQ5095288
Publication date: 8 August 2022
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.09649
model selectionstationary solutionquasi-maximum likelihood estimationportmanteau testautoregressive time series modelasymmetry tests
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Inference from stochastic processes (62Mxx)
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On an asymmetric functional-coefficient ARCH-M model, Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
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