상세 보기
초록
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.
키워드
ARCH model; doubly robustified estimating function; Huber's function
- 제목
- A doubly robustified estimating function for arch time series models
- 저자
- Kim, Sahm; Hwang, S. Y.
- 발행일
- 2007-09
- 유형
- Article
- 권
- 36
- 호
- 3
- 페이지
- 387 ~ 395