On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models

DOI10.1111/jtsa.12525zbMath1453.62442OpenAlexW3023956865MaRDI QIDQ5135327

Huan Gong, Dong Li

Publication date: 20 November 2020

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

Full work available at URL: https://doi.org/10.1111/jtsa.12525

zbMATH Keywords

quasi-maximum likelihood estimationheavy-tailednessDAR modelthree-step estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Bayesian inference for a mixture double autoregressive model

Cites Work

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