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math.ST2019
R-estimators in GARCH models; asymptotics, applications and bootstrapping
Hang Liu, Kanchan Mukherjee
The quasi-maximum likelihood estimation is a commonly-used method for estimating GARCH parameters. However, such estimators are sensitive to outliers and their asymptotic normality…
math.ST2007★ 12 cited
On the design-consistency property of hierarchical Bayes estimators in finite population sampling
P. Lahiri, Kanchan Mukherjee
We obtain a limit of a hierarchical Bayes estimator of a finite population mean when the sample size is large. The limit is in the sense of ordinary calculus, where the sample obse…