Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models

被引:0
|
作者
Awiakye-Marfo, George [1 ]
Mung'atu, Joseph [2 ]
Weke, Patrick O. [3 ]
机构
[1] Pan African Univ, Inst Sci Technol & Innovat, Dept Math & Stat, POB 62000 00200, Nairobi, Kenya
[2] JKUAT, Dept Stat & Actuarial Sci, Nairobi, Kenya
[3] Univ Nairobi, Sch Math, Nairobi, Kenya
关键词
PARAMETER CHANGES; SQUARES TEST; VARIANCE; SERIES; CUSUM;
D O I
10.1155/2020/6671515
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented. Derivation of a randomised change point estimator for the GARCH model and its consistency are given. Simulation results that support the validity of the estimator are also presented. It was observed that the randomised estimator outperforms the ordinary CUSUM of squares test, and it is optimal with large variance change ratios.
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收藏
页数:12
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