Limit experiments of GARCH

DOI10.3150/10-BEJ328zbMath1291.62162arXiv1203.0186MaRDI QIDQ408085

Boris Buchmann, Gernot J. Müller

Publication date: 29 March 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.0186

zbMATH Keywords

time seriesrandom thinningCOGARCHLe Cam's deficiency distancestatistical equivalence

Mathematics Subject Classification ID

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

Related Items

Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case ⋮ Statistical inference for nonparametric GARCH models ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise ⋮ Le cam theory on the comparison of statistical models ⋮ Statistical convergence of Markov experiments to diffusion limits ⋮ Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise ⋮ The continuous limit of weak GARCH

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