Nonparametric autoregression with multiplicative volatility and additive mean

Journal of Time Series Analysis

Volumn 20, Issue 5, 1999, Pages 579-604

  Yang, Lijian ^a   Härdle, Wolfgang ^a   Nielsen, Jens P ^a  

^a NONE

Author keywords

Additive mean; Geometric ergodicity; Geometric mixing; Local polynomial regression; Marginal integration; Multiplicative volatility; Stationary probability density

Indexed keywords

EID: 0000278675     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00159     Document Type: Article

References (45)

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