scholarly journals Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics

10.3386/t0014 ◽  
1981 ◽  
Author(s):  
Thomas MaCurdy
Keyword(s):  
Maximum Likelihood ◽  
Asymptotic Properties ◽  
Maximum Likelihood Estimators ◽  
Test Statistics ◽  
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.

scholarly journals QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes

2010 ◽  
Vol 2010 ◽  
pp. 1-30 ◽  
Author(s):  
Hongchang Hu
Keyword(s):  
Maximum Likelihood ◽  
Linear Regression ◽  
Regression Models ◽  
Asymptotic Properties ◽  
Asymptotic Distributions ◽  
Autoregressive Processes ◽  
Linear Regression Models ◽  
Unknown Parameters ◽  
Quasi Maximum Likelihood ◽  
Functional Coefficient

This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi-maximum likelihood (QML) estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties (existence, consistency, and asymptotic distributions) of the QML estimators are investigated. These results extend those of Maller (2003), White (1959), Brockwell and Davis (1987), and so on. Lastly, the validity and feasibility of the method are illuminated by a simulation example and a real example.

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