717 citations · 1.2k across the 10 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★ 61 cited
Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
Rainer Dahlhaus, Wolfgang Polonik
This paper deals with nonparametric maximum likelihood estimation for Gaussian locally stationary processes. Our nonparametric MLE is constructed by minimizing a frequency domain l…