Statistical inference for non-stationary GARCH(p, q) models

被引：9

作者：

Chan, Ngai Hang ^{[1
]}

Ng, Chi Tim ^{[2
]}

机构：

[1] Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R China

[2] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China

来源：

ELECTRONIC JOURNAL OF STATISTICS | 2009年 / 3卷

关键词：

Asymptotic normality; consistency; non-stationary GARGH model; Oseledec's multiplicative ergodic theorem; product of random matrices; quasi-maximum likelihood estimator;

D O I：

10.1214/09-EJS452

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper studies the quasi-maximum likelihood estimator (QMLE) of non-stationary GARCH(p, q) models. By expressing GARCH models in matrix form, the log-likelihood function is written in terms of the product of random matrices. Oseledec's multiplicative ergodic theorem is then used to establish the asymptotic properties of the log-likelihood function and thereby, showing the weak consistency and the asymptotic normality of the QMLE for non-stationary GARCH(p, q) models.

引用

页码：956 / 992

页数：37

共 50 条

[1] Posterior inference for sparse hierarchical non-stationary models
Monterrubio-Gomez, Karla
Roininen, Lassi
Wade, Sara
Damoulas, Theo
Girolami, Mark
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2020, 148
[2] A time varying GARCH(p, q) model and related statistical inference
Rohan, Neelabh
[J]. STATISTICS & PROBABILITY LETTERS, 2013, 83 (09) : 1983 - 1990
[3] Statistical inference for nonparametric GARCH models
Meister, Alexander
Kreiss, Jens-Peter
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2016, 126 (10) : 3009 - 3040
[4] ESTIMATION AND INFERENCE FOR NON-STATIONARY ARRIVAL MODELS WITH A LINEAR TREND
Glynn, Peter W.
Zheng, Zeyu
[J]. 2019 WINTER SIMULATION CONFERENCE (WSC), 2019, : 3764 - 3773
[5] Statistical inference for DNA sequences of promoters: a non-stationary qualitative model
Li, Xiaoyin
Doukhan, Paul
Feugeas, Jean-Paul
[J]. STATISTICS, 2017, 51 (01) : 154 - 166
[6] STREAMING INFERENCE FOR INFINITE NON-STATIONARY CLUSTERING
Schaeffer, Rylan
Liu, Gabrielle Kaili-May
Du, Yilun
Linderman, Scott
Fiete, Ila Rani
[J]. CONFERENCE ON LIFELONG LEARNING AGENTS, VOL 199, 2022, 199
[7] Statistical inference for mixture GARCH models with financial application
Cavicchioli, Maddalena
[J]. COMPUTATIONAL STATISTICS, 2021, 36 (04) : 2615 - 2642
[8] Statistical inference for mixture GARCH models with financial application
Maddalena Cavicchioli
[J]. Computational Statistics, 2021, 36 : 2615 - 2642
[9] STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS
Chan, Ngai-Hang
Chen, Jian
Chen, Xiaohong
Fan, Yanqin
Peng, Liang
[J]. STATISTICA SINICA, 2009, 19 (01) : 53 - 70
[10] Asymmetric and non-stationary GARCH(1, 1) models: parametric bootstrap to evaluate forecasting performance
Choi, Sun Woo
Yoon, Jae Eun
Lee, Sung Duck
Hwang, Sun Young
[J]. KOREAN JOURNAL OF APPLIED STATISTICS, 2021, 34 (04) : 611 - 622

← 1 2 3 4 5 →