Estimation of Parametric Models with Conditional Heteroscedastic Errors - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports (Research Report) Year : 1999

Estimation of Parametric Models with Conditional Heteroscedastic Errors

Abstract

We consider a model with conditional heteroscedastic errors. The model requires only the form of conditional mean and conditional variance functions to be specified. We propose an effective approach for fitting this class of model. Our estimator is deduced from quasi-likelihood concept using an iterative and adaptive procedure. The convergence properties are establishe- d. Finally, our method and widely used estimators are compared via numerical experiments.
Fichier principal
Vignette du fichier
RR-3658.pdf (324.62 Ko) Télécharger le fichier

Dates and versions

inria-00073014 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00073014 , version 1

Cite

Christian Lavergne, Yann Vernaz. Estimation of Parametric Models with Conditional Heteroscedastic Errors. [Research Report] RR-3658, INRIA. 1999. ⟨inria-00073014⟩
52 View
109 Download

Share

Gmail Facebook X LinkedIn More