Maximum likelihood estimation for a nearly random walk model

DOI10.1080/03610920008832509MaRDI QIDQ4541715zbMATH OpenOpenAlexFDO

Authors K. S. Man

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920008832509

zbMATH Keywords

reparameterizationmaximum likelihood estimatesstructural modelexact likelihood functionstock market returnsnearly unit root

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Asymptotic behaviour of temporal aggregates of time series
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models

Cited in

(2)

• Maximum likelihood estimator consistency for recurrent random walk in a parametric random environment with finite support
• A multivariate pareto distribution

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