Extended LMMSF Estimator for the Parameters of a GARCH Process

被引：0
|
作者：
Pascual, Juan Pablo [1 ]
von Ellenrieder, Nicolas [1 ]
Muravchik, Carlos Horacio [2 ]
机构：
[1] UNLP, CONICET, LEICI Inst Invest Elect Control & Procesamiento S, La Plata, Buenos Aires, Argentina
[2] UNLP, CIC PBA, LEICI Inst Invest Elect Control & Procesamiento S, La Plata, Buenos Aires, Argentina
来源：
2015 XVI WORKSHOP ON INFORMATION PROCESSING AND CONTROL (RPIC) | 2015年
关键词：
GARCH process; LMMSE estimator; Kahnan filter; RADAR DETECTION ALGORITHM; CLUTTER MODEL;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this work we present an extended version of a linear minimum mean square error (LMMSE) estimator for the conditional variance of a GARCH process and its coefficients. We derive the estimation algorithm with an approach analogous to the Kalman filter, although system matrices turn out to be random. Finallv, we illustrate the behavior of the LMMSE algorithm by means of simulations with a particular GARCH process.
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页数：6
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