Z. Debaly

Uniform Gaussian Approximation for The Quasi-Likelihood Estimator for a Weakly Dependent Nonlinear Time Series Models

We study estimation and inference for a semiparametric class of time series models that specify only the conditional expectation, which is a known link function applied to a linear combination of past observations and covariates. The class covers count, binary, bounded and conditionally heteroskedastic responses within...