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math.ST2011★ 51 cited
Mixing properties of ARCH and time-varying ARCH processes
Piotr Fryzlewicz, Suhasini Subba Rao
There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying AR…
math.ST2008★ 51 cited
Normalized least-squares estimation in time-varying ARCH models
Piotr Fryzlewicz, Theofanis Sapatinas, Suhasini Subba Rao
We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observ…
math.ST2007★ 11 cited
Data-driven wavelet-Fisz methodology for nonparametric function estimation
Piotr Fryzlewicz
We propose a wavelet-based technique for the nonparametric estimation of functions contaminated with noise whose mean and variance are linked via a possibly unknown variance functi…