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Your search keyword '"Iacus, Stefano M."' showing total 2 results
Start Over Author "Iacus, Stefano M." Journal journal of time series analysis
2 results on '"Iacus, Stefano M."'

2. Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation.

Author

Iacus, Stefano M., Mercuri, Lorenzo, and Rroji, Edit

Subjects
*DISCRETE-time systems, *STOCHASTIC analysis, *LIKELIHOOD ratio tests, *METRIC spaces, *LOGARITHMS
Abstract

In this article, we construct a sequence of discrete‐time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log‐likelihood function and is implemented in the yuima package. [ABSTRACT FROM AUTHOR]

Published
2018
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