Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters

DOI10.1214/009053605000000840zbMath1091.62082arXivmath/0605613MaRDI QIDQ2493561

Thomas Mikosch, Daniel Straumann

Publication date: 21 June 2006

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

Full work available at URL: https://arxiv.org/abs/math/0605613

zbMATH Keywords

regular variation; mixing; infinite variance; GARCH process; stable distribution; stochastic recurrence equation; Gaussian quasi-maximum likelihood

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62F12: Asymptotic properties of parametric estimators

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

60G42: Martingales with discrete parameter

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

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