Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares-Reference-Cited by-同舟云学术

Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares

Published:1997-04 Issue:2 Volume:24 Page:169-178
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Mak T.K.,Wong H.,Li W.K.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference14 articles.

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3. GAUSS applications manual, maximum likelihood,1994

4. Qualitative threshold ARCH models;Gourieroux;J. Econometrics,1992

5. Iteratively reweighted least squares for maximum likelihood estimation, and some robust and resistant alternatives (with discussion);Green;J. Roy. Statist. Soc. Ser. B,1984

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