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dc.contributor.authorFrancq, C.-
dc.contributor.authorMeintanis, S. G.-
dc.date.accessioned2013-11-15T07:25:16Z-
dc.date.available2013-11-15T07:25:16Z-
dc.date.issued2013-
dc.identifier.citationComputer Data Analysis and Modeling: Theoretical and Applied Stochastics : Proc. of the Tenth Intern. Conf., Minsk, Sept. 10–14, 2013. Vol 1. — Minsk, 2013. — P. 42-49ru
dc.identifier.urihttp://elib.bsu.by/handle/123456789/51931-
dc.description.abstractWe consider the estimation of general power GARCH models with stable– Paretian innovations. Exploiting the simple structure of the conditional charac- teristic function of the observations driven by these models, we propose minimum distance estimation based on the empirical characteristic function of correspond- ing residuals. Consistency of the estimators is proved, and we obtain a singular asymptotic distribution which is concentrated on a hyperplane.ru
dc.language.isoenru
dc.publisherMinsk : Publ. center of BSUru
dc.subjectЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатикаru
dc.titleFourier–type estimation of the power garch model with stable–paretian innovationsru
dc.typeArticleru
Appears in Collections:2013. Computer Data Analysis and Modeling. Vol 1
Vol. 1

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