Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters

DOI10.1214/009053605000000840zbMath1091.62082arXivmath/0605613OpenAlexW2073487155MaRDI QIDQ2493561

Thomas Mikosch, Daniel Straumann

Publication date: 21 June 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0605613

zbMATH Keywords

regular variationmixinginfinite varianceGARCH processstable distributionstochastic recurrence equationGaussian quasi-maximum likelihood

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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