Wu, Billy; Yao, Qiwei; Zhu, Shiwu - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2877-2898
We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of interest in the presence of a large number of nuisance parameters. By assuming that the observations are taken from a multiple strictly stationary process, the two estimation...
