Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
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Publication:1931865
DOI10.1016/J.JMVA.2012.07.015zbMath1255.62271OpenAlexW2085290298MaRDI QIDQ1931865
Publication date: 16 January 2013
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.07.015
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Economic time series analysis (91B84)
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