Two-stage RLS algorithm for estimating ARCH models.

被引：0
|
作者：
Aknouche, Abdelhakim [1 ]
Guerbyenne, Hafida [1 ]
机构：
[1] Univ Sci & Technol USTHB, Algiers 16111, Algeria
来源：
COMPTES RENDUS MATHEMATIQUE | 2006年 / 343卷 / 08期
关键词：
D O I：
10.1016/j.crma.2006.09.004
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The aim of this Note is, on the one hand, the development of a recursive method, in two stages, for estimating ARCH models, and, on the other hand, the analysis of the statistical properties of the estimators provided by this method. We show that these estimators are asymptotically Gaussian and that the estimator of the second stage is asymptotically efficient.
引用
收藏
页码：535 / 540
页数：6
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