Quasi-MLE for quadratic ARCH model with long memory

Autor:	Grublytė, Ieva, Surgailis, Donatas, Škarnulis, Andrius
Rok vydání:	2015
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublyt\.e and \v{S}karnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter $0< d < 1/2$. A simulation study of empirical MSE is included.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1509.06422 Zobrazit plný text záznamu View this record from Arxiv