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dc.contributor.authorWinker, Peteren_US
dc.contributor.authorMaringer, Dietmaren_US
dc.date.accessioned2009-01-30T12:09:36Z-
dc.date.available2009-01-30T12:09:36Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/23941-
dc.description.abstractThe convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at tenable computational cost. This paper combines the analysis of convergence of the estimator itself with the analysis of the convergence of stochastic optimization algorithms, e.g. threshold accepting, to the theoretical estimator. We discuss the joint convergence of estimator and algorithm in a formal framework. An application to a GARCH-model demonstrates the approach in practice by estimating actual rates of convergence through a large scale simulation study. Despite of the additional stochastic component introduced by the use of an optimization heuristic, the overall quality of the estimates turns out to be superior compared to conventional approaches.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion paper / Universität Erfurt, Staatswissenschaftliche Fakultät 2005,004Een_US
dc.subject.jelC63en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordGARCHen_US
dc.subject.keywordThreshold Acceptingen_US
dc.subject.keywordOptimization Heuristicsen_US
dc.subject.keywordConvergenceen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwTheorieen_US
dc.titleThe convergence of optimization based estimators : theory and application to a GARCH-modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn504215086en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:erfdps:2005004E-
Appears in Collections:Discussion Papers, Staatswissenschaftliche Fakultät, Universität Erfurt

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