文章基本信息

标题：Pseudo-Maximum Likelihood Estimation of ARCH(∞) Models
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作者：Peter M Robinson ; Paolo Zaffaroni
期刊名称：Distributional Analysis Publications
印刷版ISSN：1352-2469
出版年度：2005
卷号：2005
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(1) processes are established. We require the ARCH weights to decay at least hyperbolically, with a faster rate needed for the central limit theorem than for the law of large numbers. Various rates are illustrated in examples of particular parameteriza- tions in which our conditions are shown to be satised.