A doubly robustified estimating function for arch time series models
- Authors
- Kim, Sahm; Hwang, S. Y.
- Issue Date
- Sep-2007
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- ARCH model; doubly robustified estimating function; Huber's function
- Citation
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.36, no.3, pp 387 - 395
- Pages
- 9
- Journal Title
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY
- Volume
- 36
- Number
- 3
- Start Page
- 387
- End Page
- 395
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/60841
- ISSN
- 1226-3192
1876-4231
- Abstract
- 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.
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- Appears in
Collections - College of Business & Economics > Department of Applied Statistics > 1. Journal Articles
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