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On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

机译:有条件异方差的多元时间序列模型的伪最大似然估计

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We consider a general multivariate conditional heteroskedastic model under a conditional distribution that is not necessarily normal. This model contains autoregressive conditional heteroskedastic (ARCH) models as a special class. We use the pseudo maximum likelihood estimation method and derive a new estimator of the asymptotic variance matrix for the pseudo maximum likelihood estimator. We also study four special cases in this class, which are conditional heteroskedastic autoregressive moving-average models, regression models with ARCH errors, models with constant conditional correlations, and ARCH in mean models.
机译:我们考虑了不一定是正态的条件分布下的通用多元条件异方差模型。该模型包含自回归条件异方差(ARCH)模型作为特殊类。我们使用伪最大似然估计方法,并为伪最大似然估计派生渐近方差矩阵的新估计。我们还研究了此类中的四个特例,它们是条件异方差自回归移动平均模型,具有ARCH错误的回归模型,具有恒定条件相关性的模型以及均值模型中的ARCH。

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