Asymptotic Optimality of Estimating Function Estimator for CHARN Model | Zendy

Tomoyuki Amano | Zendy

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Asymptotic Optimality of Estimating Function Estimator for CHARN Model

Author(s) -

Tomoyuki Amano

Publication year - 2012

Publication title -

advances in decision sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.178

H-Index - 13

eISSN - 2090-3367

pISSN - 2090-3359

DOI - 10.1155/2012/515494

Subject(s) - estimator , efficient estimator , series (stratigraphy) , mathematics , invariant estimator , minimum variance unbiased estimator , econometrics , function (biology) , consistent estimator , least squares function approximation , mathematical optimization , statistics , paleontology , evolutionary biology , biology

CHARN model is a famous and important model in the finance, which includes many financial time series models and can be assumed as the return processes of assets. One of the most fundamental estimators for financial time series models is the conditional least squares (CL) estimator. However, recently, it was shown that the optimal estimating function estimator (G estimator) is better than CL estimator for some time series models in the sense of efficiency. In this paper, we examine efficiencies of CL and G estimators for CHARN model and derive the condition that G estimator is asymptotically optimal

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