On adaptive estimation in nonstationary ARMA models with GARCH errors
type: Item
instance of: scholarly article
title: On adaptive estimation in nonstationary ARMA models with GARCH errors
zbMATH Open document ID: 1039.62084
author: Shiqing Ling
author: Michael McAleer
published in: The Annals of Statistics
publication date: 2004-05-18T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 62F35
zbMATH DE Number: 2064486
zbMATH Keywords: adaptive estimation
zbMATH Keywords: efficient estimation
zbMATH Keywords: nonstationary ARMA-GARCH models
zbMATH Keywords: kernel estimators
zbMATH Keywords: limiting distribution
zbMATH Keywords: locally asymptotic quadratic
zbMATH Keywords: log-likelihood ratio
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1051027884
OpenAlex ID: W2076574277
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DOI: 10.1214/AOS/1051027884
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description: scientific article; zbMATH DE number 2064486