In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the continuous model defined for irregularly spaced time series data. The estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
Discrete time approximation of a COGARCH(p,q) model and its estimation / S.M. Iacus, L. Mercuri, E. Rroji. - (2015 Nov 01).
Discrete time approximation of a COGARCH(p,q) model and its estimation
S.M. IacusPrimo
;L. MercuriSecondo
;
2015
Abstract
In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the continuous model defined for irregularly spaced time series data. The estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
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