Transactions of the American Mathematical Society, Vol. 363, No. 10 (OCTOBER 2011), pp. 5465-5480 (16 pages) Several classes of diagonally nonrecursive (DNR) functions are characterized in terms of ...

This is a preview. Log in through your library . Abstract In this paper we propose a recursive online algorithm for estimating the parameters of a time-varying ARCH process. The estimation is done by ...