Minimum distance estimates in the ARCH model

MaRDI QIDQ876784zbMATH OpenFDO

Authors A. A. Sorokin

Publication date 27 April 2007

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

residual empirical process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(5)

• Computation of Certain Minimum Distance Estimators in AR[k] Model
• A doubly robustified estimating function for ARCH time series models
• Two step estimators of the minimum distance type for parameters of the \(\mathrm{ARMA}(1,1)\) model
• Minimum distance estimation of GARCH(1,1) models
• Minimum distance estimation in AR(1)-processes

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