Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

Robin L. Lumsdaine

doi:10.2307/2171862

Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

Econometrica ◽

10.2307/2171862 ◽

1996 ◽

Vol 64 (3) ◽

pp. 575 ◽

Cited By ~ 266

Author(s):

Robin L. Lumsdaine

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Likelihood Estimator ◽

Consistency And Asymptotic Normality ◽

Quasi Maximum Likelihood

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Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes

Bernoulli ◽

10.3150/bj/1193667818 ◽

1995 ◽

Vol 1 (3) ◽

pp. 257-279 ◽

Cited By ~ 6

Author(s):

Asger Roer Pedersen

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Diffusion Processes ◽

Likelihood Estimator ◽

Approximate Maximum Likelihood ◽

Consistency And Asymptotic Normality ◽

Approximate Maximum Likelihood Estimator

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Correction: Consistency and Asymptotic Normality of the Maximum Likelihood Estimator in Generalized Linear Models

The Annals of Statistics ◽

10.1214/aos/1176350187 ◽

1986 ◽

Vol 14 (4) ◽

pp. 1643-1643 ◽

Cited By ~ 13

Author(s):

Ludwig Fahrmeir ◽

Heinz Kaufmann

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Generalized Linear Models ◽

Linear Models ◽

Likelihood Estimator ◽

Consistency And Asymptotic Normality

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Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

The Annals of Statistics ◽

10.1214/08-aos674 ◽

2009 ◽

Vol 37 (5B) ◽

pp. 2730-2759 ◽

Cited By ~ 41

Author(s):

Jean-Marc Bardet ◽

Olivier Wintenberger

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Likelihood Estimator ◽

Causal Processes ◽

Quasi Maximum Likelihood

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Consistency and Asymptotic Normality of the Maximum Likelihood Estimator in Generalized Linear Models

The Annals of Statistics ◽

10.1214/aos/1176346597 ◽

1985 ◽

Vol 13 (1) ◽

pp. 342-368 ◽

Cited By ~ 251

Author(s):

Ludwig Fahrmeir ◽

Heinz Kaufmann

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Generalized Linear Models ◽

Linear Models ◽

Likelihood Estimator ◽

Consistency And Asymptotic Normality

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Consistency and Asymptotic Normality of an Approximate Maximum Likelihood Estimator for Discretely Observed Diffusion Processes

Bernoulli ◽

10.2307/3318480 ◽

1995 ◽

Vol 1 (3) ◽

pp. 257 ◽

Cited By ~ 44

Author(s):

Asger Roer Pedersen

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Diffusion Processes ◽

Likelihood Estimator ◽

Approximate Maximum Likelihood ◽

Consistency And Asymptotic Normality ◽

Approximate Maximum Likelihood Estimator

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Bounds for the asymptotic normality of the maximum likelihood estimator using the Delta method

Latin American Journal of Probability and Mathematical Statistics ◽

10.30757/alea.v14-09 ◽

2017 ◽

Vol 14 (1) ◽

pp. 153

Author(s):

Andreas Anastasiou ◽

Christophe Ley

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Maximum Likelihood Estimator ◽

Delta Method ◽

Likelihood Estimator

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Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator

Test ◽

10.1007/s11749-020-00719-x ◽

2020 ◽

Author(s):

Lijuan Huo ◽

Jin Seo Cho

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimator ◽

Covariance Matrix ◽

Likelihood Estimator ◽

Quasi Maximum Likelihood

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Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models

10.1214/aos/1024691255 ◽

1998 ◽

Vol 26 (4) ◽

pp. 1614-1635 ◽

Cited By ~ 132

Author(s):

Peter J. Bickel ◽

Ya’acov Ritov ◽

Tobias Rydén

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Hidden Markov Models ◽

Maximum Likelihood Estimator ◽

Markov Models ◽

Hidden Markov ◽

Likelihood Estimator

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Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

Statistics & Probability Letters ◽

10.1016/j.spl.2015.02.010 ◽

2015 ◽

Vol 100 ◽

pp. 192-202 ◽

Cited By ~ 3

Author(s):

Abdelouahab Bibi ◽

Ahmed Ghezal

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimator ◽

Markov Switching ◽

Time Series Models ◽

Likelihood Estimator ◽

Quasi Maximum Likelihood

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Modified quasi‐maximum likelihood estimator for polynomial phase signal

IET Signal Processing ◽

10.1049/iet-spr.2019.0079 ◽

2020 ◽

Vol 14 (3) ◽

pp. 182-187

Author(s):

Ahmed Dallil ◽

Abdelaziz Ouldali

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimator ◽

Likelihood Estimator ◽

Polynomial Phase ◽

Phase Signal ◽

Quasi Maximum Likelihood

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