Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
نویسندگان
چکیده
منابع مشابه
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more flexible forms of conditional heteroskedasticity. These features may be attractive especially in economic and financial application...
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Proof of Lemma A.1. (i) As Θa is open, we can choose a small neighborhood N (θ • a) whose closure N (θ• a) is contained in Θa. By continuity of a (·; ·), compactness of {z : |z| ≤ 1} × N (θ• a), and the condition a (z; θa) 6= 0 for |z| ≤ 1 and θa ∈ Θa, we can find a positive δ (θ• a) such that a (z; θa) 6= 0 for |z| ≤ 1 + 2δ (θ• a) and θa ∈ N (θ• a). That the inverse a (z; θa) −1 has the stated...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.07.015