In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(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 in the yuima package.

Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation / S.M. Iacus, L. Mercuri, E. Rroji. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - 39:5(2018 Sep), pp. 787-809. [10.1111/jtsa.12406]

Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation

S.M. Iacus
Primo
;
L. Mercuri
Penultimo
;
2018

Abstract

In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(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 in the yuima package.
COGARCH(p,q) process; pseudo log-likelihood estimation; Skorokhod distance;
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore SECS-S/01 - Statistica
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/577314
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