Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models

DOI10.1007/s11009-022-09975-wzbMath1524.62460OpenAlexW4313400748MaRDI QIDQ6164827

Unnamed Author, Chi Yao, Xue-jun Wang

Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-022-09975-w

zbMATH Keywords

simulationstrong consistencygeneralized random coefficient autoregressive modelreal data analysisself-weighted \(M\) estimator

Mathematics Subject Classification ID

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

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