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math.ST2008★ 12 cited
Selection from a stable box
Alexander Aue, István Berkes, Lajos Horváth
Let be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly…
math.ST2004
The efficiency of the estimators of the parameters in GARCH processes
István Berkes, Lajos Horváth
We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-…