Estimation of k-Factor GIGARCH Process: A Monte Carlo Study
نویسندگان
چکیده
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 rst method is based on the conditional distribution of the process and the second is obtained as an extension of Whittle's estimation approach. For comparison purposes, Monte Carlo simulations are used to evaluate the nite sample performance of these estimation techniques, using four di erent conditional distribution functions.
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عنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 37 شماره
صفحات -
تاریخ انتشار 2008