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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/41555
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| Title: | | Asymptotic theory for M estimators for martingale differences with applications to GARCH models |
| Authors: | | Tinkl, Fabian |
| Issue Date: | | 2010 |
| Series/Report no.: | | IWQW discussion paper series 09/2010 |
| Abstract: | | We generalize the results for statistical functionals given by [Fernholz, 1983] and [Serfling, 1980] to M estimates for samples drawn for an ergodic and stationary martingale sequence. In a first step, we take advantage of some recent results on the uniform convergency of the empirical distribution given by [Adams & Nobel, 2010] to prove consistency of M estimators, before we assume Hadamard differentiability of our estimators to prove their asymptotic normality. Further we apply the results to the LAD estimator of [Peng & Yao, 2003] and the maximum-likelihood estimator for GARCH processes to show the wide field of possible applications of this method. |
| Subjects: | | Hadamard differential M estimator von Mises Calculus martingale differences GARCH models |
| Document Type: | | Working Paper |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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| The document was removed on behalf of the author(s)/ the editor(s) on: August 6, 2012 |
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