Minimum alpha-divergence estimation for arch models

DOI10.1111/J.1467-9892.2005.00444.XzbMath1113.62097OpenAlexW2104986144MaRDI QIDQ3440738

Masanobu Taniguchi, S. Ajay Chandra

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00444.x

zbMATH Keywords

robustnessasymptotic efficiencykernel density estimatorARCH modelsconditional least squares estimator\(\alpha\)-divergenceresidual empirical process

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

Modelling time-varying higher moments with maximum entropy density ⋮ Estimation and testing for a Poisson autoregressive model ⋮ Divergences test statistics for discretely observed diffusion processes ⋮ Asymptotics of rank order statistics for ARCH residual empirical processes.

Cites Work

• Estimation in nonlinear time series models
• Efficient estimation in semiparametric GARCH models
• Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
• On the estimation of \(\beta\)-ARCH models
• Empirical process of the squared residuals of an ARCH sequence
• Differential-geometrical methods in statistics
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Estimating functions for nonlinear time series models
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