Optimal estimating function for weak location‐scale dynamic models

DOI10.1111/JTSA.12684OpenAlexW4324088517MaRDI QIDQ6176937

Christian Francq, Jean-Michel Zakoian

Publication date: 24 August 2023

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

Full work available at URL: https://doi.org/10.1111/jtsa.12684

zbMATH Keywords

conditional momentssemi-parametric time seriesoptimality in Godambe's sense

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

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