Estimating 2-D GARCH models by quasi-maximum of likelihood

DOI10.1080/03610926.2022.2027452MaRDI QIDQ6164705zbMATH OpenOpenAlexFDO

Authors Soumia Kharfouchi

Publication date 28 July 2023

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

Full work available at URL https://doi.org/10.1080/03610926.2022.2027452

zbMATH Keywords

heteroscedasticitynonlinear interdependencyquasi-maximum likelihood estimationspatial model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Central limit theorem associated with bilinear random fields
• Cesàro summation for random fields
• GMM Estimation of 2D-RCA Models With Applications to Texture Image Classification
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• Inference for 2-D GARCH models
• Speckle Suppression in SAR Images Using the 2-D GARCH Model
• Strictly stationary solutions of spatial ARMA equations
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(2)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• GARCH Model Estimation Using Estimated Quadratic Variation

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