Estimating the Innovation Distribution in Nonlinear Autoregressive Models
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 54 (2002)
Issue (Month): 2 (June)
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Web page: http://www.springerlink.com/link.asp?id=102845
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"Adaptive estimation in time-series models,"
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- repec:cup:etheor:v:11:y:1995:i:5:p:818-87 is not listed on IDEAS
- Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2009. "Estimators for alternating nonlinear autoregression," Journal of Multivariate Analysis, Elsevier, vol. 100(2), pages 266-277, February.
- Escanciano, Juan Carlos & Jacho-Chávez, David T., 2012. "n-uniformly consistent density estimation in nonparametric regression models," Journal of Econometrics, Elsevier, vol. 167(2), pages 305-316.
- Yang Yan & Dajing Shang & Oliver Linton, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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