Adaptive Estimation of Autoregressive Models with Time-varying Variances By

Abstract

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown… (More)

Topics

4 Figures and Tables

Slides referencing similar topics