Beran, Jan; Yuanhua.Feng - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2001
In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are...