Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A DOUBLY ROBUSTIFIED ESTIMATING FUNCTION FOR ARCH TIME SERIES MODELS

  • Kim, Sahm (Department of Statistics, Chung-Ang University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
  • Published : 2007.09.30
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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.

Keywords

References

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