Adaptive estimation of mean and volatility functions in (auto-)regressive models

Stochastic Processes and their Applications

Volumn 97, Issue 1, 2002, Pages 111-145

  Comte, F ^a,b   Rozenholc, Y ^b,c  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c UNIVERSITÉ DU MAINE   (France)

Author keywords

Adaptive estimation; Autoregression; Least squares estimator; Mixing processes; Nonparametric regression; Variance estimation

Indexed keywords

EID: 11144325704     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(01)00128-4     Document Type: Article

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