51 citations · 182 across the 29 of their papers we have counts for
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math.ST2015★ 2 cited
Quasi-MLE for quadratic ARCH model with long memory
Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis
We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with con…
math.ST2015★ 5 cited
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė +1
We discuss nonparametric estimation of the distribution function of the autoregressive coefficient from a panel of random-coefficient AR(1) data, each of…
math.ST2015
A nonlinear model for long memory conditional heteroscedasticity
Paul Doukhan, Ieva Grublytė, Donatas Surgailis
We discuss a class of conditionally heteroscedastic time series models satisfying the equation , where are standardized i.i.d. r.v.'s and the conditional standa…