In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to aCOGARCH(p, q) model. The result is useful for the estimation of the COGARCH(p, q) on irregularly spaced time series data.The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented inthe yuima package.
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
Rroji, Edit
2018-01-01
Abstract
In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to aCOGARCH(p, q) model. The result is useful for the estimation of the COGARCH(p, q) on irregularly spaced time series data.The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented inthe yuima package.File in questo prodotto:
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