Adaptive Estimation of Autoregressive Models with Time-Varying Variances
Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change ove...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2008
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/288 https://ink.library.smu.edu.sg/context/soe_research/article/1287/viewcontent/Adaptive_Estimation_of_Autoregressive_Models_2008.pdf |
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| Institution: | Singapore Management University |
| Language: | English |