A doubly robustified estimating function for arch time series models
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Sahm | - |
dc.contributor.author | Hwang, S. Y. | - |
dc.date.available | 2021-02-22T15:02:04Z | - |
dc.date.issued | 2007-09 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.issn | 1876-4231 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/14635 | - |
dc.description.abstract | We propose a doubly robustified estimating function for the estimation of parameters in the context of ARCH models. We investigate asymptotic properties of estimators obtained as solutions of robust estimating equations. A simulation study shows that robust estimator from specified doubly robustified estimating equation provides better performance than conventional robust estimators especially under heavy-tailed distributions of innovation errors. | - |
dc.format.extent | 9 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.title | A doubly robustified estimating function for arch time series models | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.wosid | 000255192500006 | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.36, no.3, pp 387 - 395 | - |
dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.volume | 36 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 387 | - |
dc.citation.endPage | 395 | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001079888 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordAuthor | ARCH model | - |
dc.subject.keywordAuthor | doubly robustified estimating function | - |
dc.subject.keywordAuthor | Huber's function | - |
dc.identifier.url | https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART001079888 | - |
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