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- Publisher Website: 10.5705/ss.2011.086
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Article: Quasi-maximum exponential likelihood estimators for a double AR(p) model
Title | Quasi-maximum exponential likelihood estimators for a double AR(p) model |
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Authors | |
Keywords | Asymptotic normality Double AR(p) model QMELE and strong consistency |
Issue Date | 2013 |
Citation | Statistica Sinica, 2013, v. 23, n. 2, p. 251-270 How to Cite? |
Abstract | The paper studies the quasi-maximum exponential likelihood estimator (QMELE) for the double AR(p) (DAR(p)) model: yt = ∑i=1p φiyt-1 + ηt√w+∑i=1pα iy2t-i, where {ηt} is a white noise sequence. Under a fractional moment of yt with Eη2t < ∞, strong consistency and asymptotic normality of the global QMELE are established. A formal comparison is given with the QMLE in Ling (2007) and WLADE in Chan and Peng (2005). A simulation study is carried out to compare the performance of these estimators in finite samples. An example on the exchange rate is given. |
Persistent Identifier | http://hdl.handle.net/10722/230937 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.368 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhu, Ke | - |
dc.contributor.author | Ling, Shiqing | - |
dc.date.accessioned | 2016-09-01T06:07:12Z | - |
dc.date.available | 2016-09-01T06:07:12Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Statistica Sinica, 2013, v. 23, n. 2, p. 251-270 | - |
dc.identifier.issn | 1017-0405 | - |
dc.identifier.uri | http://hdl.handle.net/10722/230937 | - |
dc.description.abstract | The paper studies the quasi-maximum exponential likelihood estimator (QMELE) for the double AR(p) (DAR(p)) model: yt = ∑i=1p φiyt-1 + ηt√w+∑i=1pα iy2t-i, where {ηt} is a white noise sequence. Under a fractional moment of yt with Eη2t < ∞, strong consistency and asymptotic normality of the global QMELE are established. A formal comparison is given with the QMLE in Ling (2007) and WLADE in Chan and Peng (2005). A simulation study is carried out to compare the performance of these estimators in finite samples. An example on the exchange rate is given. | - |
dc.language | eng | - |
dc.relation.ispartof | Statistica Sinica | - |
dc.subject | Asymptotic normality | - |
dc.subject | Double AR(p) model | - |
dc.subject | QMELE and strong consistency | - |
dc.title | Quasi-maximum exponential likelihood estimators for a double AR(p) model | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.5705/ss.2011.086 | - |
dc.identifier.scopus | eid_2-s2.0-84884240655 | - |
dc.identifier.volume | 23 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 251 | - |
dc.identifier.epage | 270 | - |
dc.identifier.isi | WOS:000339129200012 | - |
dc.identifier.issnl | 1017-0405 | - |