Information-theoretic optimality of observation-driven time series models for continuous responses
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Publication:5258425
DOI10.1093/biomet/asu076zbMath1452.62620OpenAlexW2012189049MaRDI QIDQ5258425
Siem Jan Koopman, Francisco Blasques, André Lucas
Publication date: 26 June 2015
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/asu076
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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