Pseudo-maximum likelihood estimation of ARCH$(\infty)$ models
Statistics Theory
2007-06-13 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.math/0607798,
title = {Pseudo-maximum likelihood estimation of ARCH$(\infty)$ models},
author = {Peter M. Robinson and Paolo Zaffaroni},
journal= {arXiv preprint arXiv:math/0607798},
year = {2007}
}
Comments
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)