Estimating multivariate ARCH parameters by two-stage least-squares method

DOI10.1016/j.sigpro.2008.11.012zbMath1161.94350OpenAlexW2034675548MaRDI QIDQ1016830

Saman Mousazadeh, Mahmood Karimi

Publication date: 14 May 2009

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2008.11.012

zbMATH Keywords

parameter estimationQMLEmultivariate ARCHTSLS

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (5)

Data filtering-based least squares iterative algorithm for Hammerstein nonlinear systems by using the model decomposition ⋮ Filtering-based multistage recursive identification algorithm for an input nonlinear output-error autoregressive system by using the key term separation technique ⋮ Two-stage recursive least squares parameter estimation algorithm for output error models ⋮ A Weighted Linear Estimator of Multivariate ARCH Parameters ⋮ Order selection criteria for vector autoregressive models

Cites Work

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• Speech spectral modeling and enhancement based on autoregressive conditional heteroscedasticity models
• Generalized autoregressive conditional heteroscedasticity
• Nonlinear time series. Nonparametric and parametric methods
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Introduction to the Mathematical and Satistical Foundations of Econometrics
• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models

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