Pseudo-maximum likelihood estimation of ARCH$(\infty)$ models
| dc.creator | Robinson, Peter M. | |
| dc.creator | Zaffaroni, Paolo | |
| dc.date | 2006-07-31 | |
| dc.date.accessioned | 2026-07-07T08:08:03Z | |
| dc.date.available | 2026-07-07T08:08:03Z | |
| dc.description | Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH$(\infty)$ processes are established. The conditions are shown to hold in case of exponential and hyperbolic decay in the ARCH weights, though in the latter case a faster decay rate is required for the central limit theorem than for the law of large numbers. Particular parameterizations are discussed. | |
| dc.description | Published at http://dx.doi.org/10.1214/009053606000000245 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0607798 | |
| dc.identifier | http://arxiv.org/abs/math/0607798 | |
| dc.identifier | Annals of Statistics 2006, Vol. 34, No. 3, 1049-1074 | |
| dc.identifier | doi:10.1214/009053606000000245 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/131130 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62M10 (Primary) 62F12 (Secondary) | |
| dc.title | Pseudo-maximum likelihood estimation of ARCH$(\infty)$ models | |
| dc.type | text |