Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

DOI10.1214/17-EJS1241zbMath1473.62299arXiv1601.00155OpenAlexW2963676905MaRDI QIDQ521306

Yakoub Boularouk, Jean-Marc Bardet, Khedidja Djaballah

Publication date: 7 April 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.00155

zbMATH Keywords

asymptotic normalitystrong consistencyARMA-ARCH processesLaplacian quasi-maximum likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (7)

Strongly consistent model selection for general causal time series ⋮ Quasi-maximum likelihood estimation of GARCH with student distributed noise ⋮ Epidemic change-point detection in general causal time series ⋮ Consistent model selection criteria and goodness-of-fit test for common time series models ⋮ Laplace's method and BIC model selection for least absolute value criterion ⋮ Generalized Gaussian quasi-maximum likelihood estimation for most common time series ⋮ Standard Laplace quasi-maximum likelihood estimator for GARCH processes

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