Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models

DOI10.1214/009053606000000245zbMath1113.62107arXivmath/0607798OpenAlexW2096489060MaRDI QIDQ2500446

Paolo Zaffaroni, Peter M. Robinson

Publication date: 24 August 2006

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

Full work available at URL: https://arxiv.org/abs/math/0607798

zbMATH Keywords

asymptotic inferencepseudo-maximum likelihood estimationARCH\((\infty)\) models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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