Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models

DOI10.1016/j.jspi.2012.10.002zbMath1428.62382OpenAlexW1973777781MaRDI QIDQ1931360

Baoguo Pan, Min Chen

Publication date: 25 January 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.10.002

zbMATH Keywords

asymptotic normalitystationarityARFIMA-GARCHself-weighted quasi-maximum exponential likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items

Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors, Asymptotics of self-weighted M-estimators for autoregressive models, Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models, Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance, Weighted least absolute deviations estimation for periodic ARMA models, Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model, Estimation for periodic ARMA models with unspecified noises