On adaptive estimation in nonstationary ARMA models with GARCH errors

Annals of Statistics

Volumn 31, Issue 2, 2003, Pages 642-674

  Ling, Shiqing ^a   McAleer, Michael ^a  

^a NONE

Author keywords

Adaptive estimation; Efficient estimation; Kernel estimators; Limiting distribution; Locally asymptotic quadratic; Log likehood ratio; Nonstationary ARMA GARCH models

Indexed keywords

EID: 0037847450     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/aos/1051027884     Document Type: Article

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