Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models
Joint Authors
Awiakye-Marfo, George
Mung’atu, Joseph
Weke, Patrick O.
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-12-29
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
In this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented.
Derivation of a randomised change point estimator for the GARCH model and its consistency are given.
Simulation results that support the validity of the estimator are also presented.
It was observed that the randomised estimator outperforms the ordinary CUSUM of squares test, and it is optimal with large variance change ratios.
American Psychological Association (APA)
Awiakye-Marfo, George& Mung’atu, Joseph& Weke, Patrick O.. 2020. Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models. Journal of Mathematics،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1188131
Modern Language Association (MLA)
Awiakye-Marfo, George…[et al.]. Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models. Journal of Mathematics No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1188131
American Medical Association (AMA)
Awiakye-Marfo, George& Mung’atu, Joseph& Weke, Patrick O.. Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models. Journal of Mathematics. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1188131
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1188131
