Feasible optimum Godambe scores for a semi-parametric GARCH time series

DOI10.1016/j.jkss.2016.08.001zbMath1390.62177OpenAlexW2518667045MaRDI QIDQ508110

Yong-Cai Geng, Sumit K. Garg

Publication date: 9 February 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.08.001

zbMATH Keywords

GARCHquasi-maximum likelihoodfeasible scoreoptimum godambe score

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites Work

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• Non-ergodic martingale estimating functions and related asymptotics
• A profile Godambe information of power transformations for ARCH time series

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