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- W2468164077 abstract "In this work, we propose a new estimate algorithm for the parameters of a ARCH(1) model without any assumptions about initial values which are important in QMLE method. This algorithm turns out to be very reliable in estimating the true parameter values of a given model. It combines maximum likelihood method, Kalman filter algorithm and the SPSA method. Simulation results demonstrate that the algorithm is viable and promising. Note that this work is not a special case of our" @default.
- W2468164077 created "2016-07-22" @default.
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- W2468164077 date "2014-01-01" @default.
- W2468164077 modified "2023-09-25" @default.
- W2468164077 title "Parameter estimation for ARCH(1) models based on Kalman filter" @default.
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- W2468164077 doi "https://doi.org/10.12988/ams.2014.43164" @default.
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