Median Unbiased and Maximum Likelihood Estimations of ARCH(0, 1) Coefficient

DOI10.1081/STA-120019962zbMATH Open1107.62361OpenAlexW1991168585MaRDI QIDQ4807621

Dehui Wang, Ning-Zhong Shi

Publication date: 19 May 2003

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120019962

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Cites Work

• Title not available (Why is that?)
• A median-unbiased estimator of the \(AR(1)\) coefficient
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Robust Statistics

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