Search Results - subject:"Conditional sum of squares"

Estimation of k-Factor Gigarch Process: A Monte Carlo Study

Ka, Diongue Abdou; Guegan, Dominique - HAL - 2008

In this paper, we discuss the parameter estimation for a k-factor generalized long memory processwith conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...

Persistent link: https://www.econbiz.de/10010738665

Estimation of k-factor GIGARCH process : a Monte Carlo study

Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2008

In this paper, we discuss the parameter estimation for a k-factor generalized long memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...

Persistent link: https://www.econbiz.de/10010750433

Conditional-sum-of-squares estimation of models for stationary time series with long memory

Robinson, Peter - London School of Economics (LSE) - 2006

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS …

Persistent link: https://www.econbiz.de/10010745068

Conditional-Sum-of-Squares Estimation ofModels for Stationary Time Series with Long Memory

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2006

Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory P … asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long …: Long memory, conditional-sum-of-squares estimation, central limit theorem, almost sure convergence …

Persistent link: https://www.econbiz.de/10005670797