The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model | Zendy

Qiang Xiong | Zendy; Yuan Li | Zendy; Xingfa Zhang | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model

Author(s) -

Qiang Xiong,

Yuan Li,

Xingfa Zhang

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/189426

Subject(s) - estimator , nonparametric statistics , mathematics , arch , smoothing , single index model , semiparametric model , restricted maximum likelihood , parametric statistics , component (thermodynamics) , statistics , parametric model , index (typography) , maximum likelihood , computer science , engineering , structural engineering , physics , world wide web , thermodynamics

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

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research