Pseudo-maximum likelihood estimation of ARCH(∞) models
Robinson, Peter M. ; Zaffaroni, Paolo
Ann. Statist., Tome 34 (2006) no. 1, p. 1049-1074 / Harvested from Project Euclid
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Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(∞) 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.
Publié le : 2006-06-14
Classification:  ARCH(∞) models,  pseudo-maximum likelihood estimation,  asymptotic inference,  62M10,  62F12 
@article{1152540742,
     author = {Robinson, Peter M. and Zaffaroni, Paolo},
     title = {Pseudo-maximum likelihood estimation of ARCH($\infty$) models},
     journal = {Ann. Statist.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 1049-1074},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1152540742}
}

Robinson, Peter M.; Zaffaroni, Paolo. Pseudo-maximum likelihood estimation of ARCH(∞) models. Ann. Statist., Tome 34 (2006) no. 1, pp.  1049-1074. http://gdmltest.u-ga.fr/item/1152540742/