The aim of this paper is to propose a new approach to the proof of consistency of quasi-maximum likelihood estimators in ARCH models. The new proof uses epigraphical convergence, a kind of convergence that has proved to be useful in Operations Research, Optimization and Statistics, and asymptotic mean stationarity, that is the most general concept allowing for an Ergodic Theorem to hold.
Consistency of quasi-maximum likelihood estimators in ARCH models
SERI, RAFFAELLO
2006-01-01
Abstract
The aim of this paper is to propose a new approach to the proof of consistency of quasi-maximum likelihood estimators in ARCH models. The new proof uses epigraphical convergence, a kind of convergence that has proved to be useful in Operations Research, Optimization and Statistics, and asymptotic mean stationarity, that is the most general concept allowing for an Ergodic Theorem to hold.
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