2 papers
math.ST2008
Some Probabilistic and Statistical Properties of a Random Coefficient Autoregressive Model
A. Bouchemella, A. Bibi
A statistical inference for random coefficient first-order autoregressive model was investigated by P.M. ROBINSON (1978) in which the coefficients varying over individu…
math.ST2007
Quasi-maximum likelihood estimation of periodic GARCH processes
Abdehakim Aknouche, Abdelouhab Bibi
This paper establishes the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for a GARCH process with periodically time-varying parameter…