Statistical inference for time-varying ARCH processes
| dc.creator | Dahlhaus, Rainer | |
| dc.creator | Rao, Suhasini Subba | |
| dc.date | 2006-07-31 | |
| dc.date.accessioned | 2026-07-07T08:08:03Z | |
| dc.date.available | 2026-07-07T08:08:03Z | |
| dc.description | In this paper the class of ARCH$(\infty)$ models is generalized to the nonstationary class of ARCH$(\infty)$ models with time-varying coefficients. For fixed time points, a stationary approximation is given leading to the notation ``locally stationary ARCH$(\infty)$ process.'' The asymptotic properties of weighted quasi-likelihood estimators of time-varying ARCH$(p)$ processes ($p<\infty$) are studied, including asymptotic normality. In particular, the extra bias due to nonstationarity of the process is investigated. Moreover, a Taylor expansion of the nonstationary ARCH process in terms of stationary processes is given and it is proved that the time-varying ARCH process can be written as a time-varying Volterra series. | |
| dc.description | Published at http://dx.doi.org/10.1214/009053606000000227 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/0607799 | |
| dc.identifier | http://arxiv.org/abs/math/0607799 | |
| dc.identifier | Annals of Statistics 2006, Vol. 34, No. 3, 1075-1114 | |
| dc.identifier | doi:10.1214/009053606000000227 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/131131 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62M10 (Primary) 62F10 (Secondary) | |
| dc.title | Statistical inference for time-varying ARCH processes | |
| dc.type | text |