Minimum alpha-divergence estimation for arch models

DOI10.1111/j.1467-9892.2005.00444.xzbMath1113.62097MaRDI 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

robustness; asymptotic efficiency; kernel density estimator; ARCH models; conditional least squares estimator; \(\alpha\)-divergence; residual empirical process

Mathematics Subject Classification ID

62G07: Density estimation

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

62G20: Asymptotic properties of nonparametric inference

62G35: Nonparametric robustness

62P05: Applications of statistics to actuarial sciences and financial mathematics

62B10: Statistical aspects of information-theoretic topics

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

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