In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.

Iacus, S., Mercuri, L., Rroji, E. (2018). Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation. JOURNAL OF TIME SERIES ANALYSIS, 39(5), 787-809 [10.1111/jtsa.12406].

Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation

Rroji, Edit
2018

Abstract

In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
Articolo in rivista - Articolo scientifico
COGARCH(p,q) process; pseudo log-likelihood estimation; Skorokhod distance;
English
2018
39
5
787
809
reserved
Iacus, S., Mercuri, L., Rroji, E. (2018). Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation. JOURNAL OF TIME SERIES ANALYSIS, 39(5), 787-809 [10.1111/jtsa.12406].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/198641
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