10 citations · 10 across the 1 of their papers we have counts for
2 papers
math.ST2006★ 10 cited
Pseudo-maximum likelihood estimation of ARCH models
Peter M. Robinson, Paolo Zaffaroni
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH processes are established. The co…
math.ST2005
Efficiency improvements in inference on stationary and nonstationary fractional time series
P. M. Robinson
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, a…