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.

引用

页码：1049 / 1074

页数：26

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