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math.ST2015★ 2 cited
Quasi-MLE for quadratic ARCH model with long memory
Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis
We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with con…
math.ST2015
A generalized nonlinear model for long memory conditional heteroscedasticity
Ieva Grublytė, Andrius Škarnulis
We study the existence and properties of stationary solution of ARCH-type equation , where are standardized i.i.d. r.v.'s and the conditional variance satisfies…
math.ST2013
Projective stochastic equations and nonlinear long memory
Ieva Grublytė, Donatas Surgailis
A projective moving average is a Bernoulli shift written as a backward martingale transform of the innovation sequence. We introduce a new class of nonl…