Adaptive Estimation of Autoregressive Models with Time-Varying Variances

By Ke-Li Xu, Peter C. B. Phillips. 2008

123 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Control and Systems Engineering, Genetics

View Paper: https://www.semanticscholar.org/paper/1526a532170c02a897845c2c969cad5a46a68c84

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Alan M. Taylor
2. Giuseppe Cavaliere

In Control and Systems Engineering

1. Alan M. Taylor
2. Giuseppe Cavaliere

Citations in the corpus

• Inference in Autoregression under Heteroskedasticity (2006, unknown): “The second extension is considered in Xu and Phillips (2005) and others will be explored in later studies.”
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, background): “Other related work is considered by Phillips and Xu (2006), Xu and Phillips (2008), and Xu (2008), who show that nonconstant volatility can have a large impact on standard estimation and testing procedures in stable autoregressions.”