Minimum Hellinger distance estimation of multivariate GARCH processes

DOI10.17654/TS054060503MaRDI QIDQ5204686zbMATH OpenOpenAlexWikidataFDO

Authors Roger Kadjo, Ouagnina Hili, Aubin Yao N'dri

Publication date 5 December 2019

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/ts054060503

zbMATH Keywords

\(\alpha\)-mixing processesasymptotic normalityconsistencyHellinger distance estimatormultivariate GARCH processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Note on the Central Limit Theorems for Dependent Random Variables
• Asymptotic theory for multivariate GARCH processes.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Minimum Hellinger distance estimates for parametric models
• Parameter estimation of one-dimensional diffusion process by minimum Hellinger distance method
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Sufficient Linear Structures: Econometric Applications

Cited in

(10)

• Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process
• Hellinger distance estimation of strongly dependent Gaussian random fields
• Minimum Hellinger distance estimators for multivariate distributions from the Johnson system
• Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
• Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
• scientific article; zbMATH DE number 474566 (Why is no real title available?)
• Minimum Hellinger distance estimation of an ARFIMA process
• Minimum Hellinger distance estimation for locally stationary processes
• ESTIMATION QUANTILES OF THE GUMBEL DISTRIBUTION BASED ON THE HELLINGER DISTANCE: APPLICATION OF DATA FROM L’ARDIÈRES STATION OF BEAUJEU (RHÔNE DEPARTMENT)
• Simulated minimum Hellinger distance estimation of stochastic volatility models

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