scholarly journals Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models

2017 ◽  
Vol 11 (2) ◽  
pp. 2707-2740 ◽  
Author(s):  
Randal Douc ◽  
Konstantinos Fokianos ◽  
Eric Moulines
Keyword(s):  
Time Series ◽  
Maximum Likelihood ◽  
Asymptotic Properties ◽  
Maximum Likelihood Estimators ◽  
Time Series Models ◽  
Quasi Maximum Likelihood

STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS

1998 ◽  
Vol 14 (1) ◽  
pp. 70-86 ◽  
Author(s):  
Thierry Jeantheau
Keyword(s):  
Maximum Likelihood ◽  
Error Term ◽  
Strong Consistency ◽  
Asymptotic Properties ◽  
Maximum Likelihood Estimators ◽  
Multivariate Garch ◽  
Arch Models ◽  
Multivariate Garch Model ◽  
Quasi Maximum Likelihood ◽  
Derivatives Of

This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation, we describe the set of parameters where these conditions hold.

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