The convergence of estimators based on heuristics: theory and application to a GARCH model
type: Item
instance of: scholarly article
title: The convergence of estimators based on heuristics: theory and application to a GARCH model
zbMATH Open document ID: 1198.62115
author: Dietmar G. Maringer
author: Peter Winker
published in: Computational Statistics
publication date: 2010-04-22T00:00:00Z
review text: A threshold accepting optimization algorithm is implemented for calculation of maximum likelihood (ML) estimators of the parameters of GARCH(1,1) models. The performance of the algorithm is assessed via simulations. It is compared to the ML estimator of the GARCH package for MathLab. The authors' conclusion is that their algorithm outperforms the MathLab in most cases.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 5697324
zbMATH Keywords: threshold accepting algorithm
zbMATH Keywords: optimization
zbMATH Keywords: maximum likelihood estimates
describes a project that uses: JMulTi
describes a project that uses: Excel
MaRDI profile type: Publication
full work available at URL: s00180-008-0145-5
OpenAlex ID: W2050499439
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DOI: 10.1007/S00180-008-0145-5
description: scientific article; zbMATH DE number 5697324