Robust estimation of conditional variance of time series using density power divergences
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DOI: 10.1002/for.2465
Abstract: Suppose Zt is the square of a time series Yt whose conditional mean is zero. We do not specify a model for Yt, but assume that there exists a p×1 parameter vector Φ such that… read more here.
Keywords: robust estimation; methodology; density power; time series ... See more keywords