Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series

DOI10.1007/978-3-319-13881-7_23zbMath1351.62174OpenAlexW242913040MaRDI QIDQ2833375

Florian Ziel

Publication date: 18 November 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13881-7_23

zbMATH Keywords

quasi-maximum likelihood estimatorergodic causal time seriesmultivariate nonlinear periodic AR(\(\infty\))-ARCH(\(\infty\)) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations

Cites Work

• Asymptotic inference of unstable periodic ARCH processes
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Weakly dependent chains with infinite memory
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

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