Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

DOI10.1214/11-AOS895zbMath1227.62076arXiv1201.6216MaRDI QIDQ651027

Ke Zhu, Shiqing Ling

Publication date: 8 December 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.6216

zbMATH Keywords

asymptotic normality; strong consistency

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

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