The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model
Joint Authors
Li, Yuan
Zhang, XingFa
Xiong, Qiang
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-20
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We propose a class of single-index ARCH(p)-M models and investigate estimators of the parametric and nonparametric components.
We first estimate the nonparametric component using local linear smoothing technique and then construct an estimator of parametric component by using profile quasimaximum likelihood method.
Under regularity conditions, the asymptotic properties of our estimators are established.
American Psychological Association (APA)
Xiong, Qiang& Li, Yuan& Zhang, XingFa. 2014. The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-453078
Modern Language Association (MLA)
Xiong, Qiang…[et al.]. The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model. Mathematical Problems in Engineering No. 2014 (2014), pp.1-17.
https://search.emarefa.net/detail/BIM-453078
American Medical Association (AMA)
Xiong, Qiang& Li, Yuan& Zhang, XingFa. The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-453078
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-453078
