Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes | Vidéo | Carmin.tv

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Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

By Jean-Marc Bardet

Appears in collection : Thematic month on statistics - Week 3: Processus / Mois thématique sur les statistiques - Semaine 3 : Processus

We prove the consistency and asymptotic normality of the Laplacian Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time series including ARMA, AR($\infty$), GARCH, ARCH($\infty$), ARMA-GARCH, APARCH, ARMA-APARCH,..., processes. We notably exhibit the advantages (moment order and robustness) of this estimator compared to the classical Gaussian QMLE. Numerical simulations confirms the accuracy of this estimator.

Information about the video

Date of recording 16/02/2016
Date of publication 02/03/2016
Institution CIRM
Licence CC BY NC ND
Language English
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.18931403
Cite this video Bardet, Jean-Marc (16/02/2016). Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.18931403
URL https://dx.doi.org/10.24350/CIRM.V.18931403

Domain(s)

Statistics Theory

Bibliography

[1] Bardet, J.-M., Boularouk, Y., Djaballah, K. (2016). Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes. <arXiv:1601.00155> - http://arxiv.org/abs/1601.00155
[2] Bardet, J.-M., & Wintenberger, O. (2009). Asymptotic normality of the Quasi-Maximum likelihood estimator for multidimensional causal process. The Annals of Statistics, 37(5B), 2730-2759 - http://dx.doi.org/10.1214/08-AOS674
[3] Berkes, I., Horváth, L., & Kokoszka, P. (2003). GARCH processes: structure and estimation. Bernoulli, 9(2), 201-227 - http://dx.doi.org/10.3150/bj/1068128975
[4] Ding, Z., Granger C.W.J. and Engle R.F. (1993). A Long Memory Property of Stock Market Returns and a New Model. Journal of Empirical Finance, 1(1), 83-106 - http://dx.doi.org/10.1016/0927-5398(93)90006-D
[5] Francq, C. and Zakoian, J-M. (2013) Optimal predictions of powers of conditionally heteroskedastic processes. Journal of the Royal Statistical Society B, 75(2), 345-367 - http://dx.doi.org/10.1111/j.1467-9868.2012.01045.x

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