254 citations · 420 across the 12 of their papers we have counts for
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math.ST2007★ 35 cited
A recursive online algorithm for the estimation of time-varying ARCH parameters
Rainer Dahlhaus, Suhasini Subba Rao
In this paper we propose a recursive online algorithm for estimating the parameters of a time-varying ARCH process. The estimation is done by updating the estimator at time point $…
math.ST2007
Nonparametric estimation for dependent data with an application to panel time series
Jan Johannes, Suhasini Subba Rao
In this paper we consider nonparametric estimation for dependent data, where the observations do not necessarily come from a linear process. We study density estimation and also di…