Pseudo-maximum likelihood estimation of ARCH(∞) models

被引：50
|
作者：
Robinson, Peter M.
Zaffaroni, Paolo
机构：
[1] Univ London London Sch Econ & Polit Sci, Dept Econ, London WC2A 2AE, England
[2] Univ London Imperial Coll Sci Technol & Med, Tanaka Business Sch, London SW7 2AZ, England
来源：
ANNALS OF STATISTICS | 2006年 / 34卷 / 03期
关键词：
ARCH(infinity) models; pseudo-maximum likelihood estimation; asymptotic inference;
D O I：
10.1214/009053606000000245
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Strong consistency and asymptotic normality of the Gaussian pseudomaximum likelihood estimate of the parameters in a wide class of ARCH(infinity) 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.
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页码：1049 / 1074
页数：26
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