Misspecified semiparametric model selection with weakly dependent observations

DOI10.1111/jtsa.12628OpenAlexW3207695253MaRDI QIDQ5095825

Francesco Bravo

Publication date: 11 August 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12628

zbMATH Keywords

mixingstochastic discount factorstochastic equicontinuityuniform size control

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes (62Mxx)

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