Minimum distance estimates in the ARCH model

zbMATH Open1129.62081MaRDI QIDQ876784FDOQ876784

Authors: A. A. Sorokin 

Publication date: 27 April 2007

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

Recommendations

• Minimum distance estimation of GARCH(1,1) models
• Minimum distance estimation in AR(1)-processes
• Minimum alpha-divergence estimation for arch models
• scientific article; zbMATH DE number 1223290
• Robust estimates for arch processes

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)

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

This page was built for publication: Minimum distance estimates in the ARCH model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q876784)