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- W417503413 abstract "Whittle estimators are important and fundamental in time series esti- mation. We apply Whittle estimation to the square transformed ARCH(∞) models, which can be expressed as linear processes. Whittle estimators for linear processes are known to be asymptotically normal with asymptotic variance VW = V2 +V4, where V2 is written in terms of the second-order spectra only, and V4 includes the fourth-order cumulant spectra. This note gives a useful and explicit expression of V4, and shows that there exists a case of V4 < 0. Since V2 can be regarded as the inverse of Fisher information F �1 in terms of the second-order spectra, the result implies that there is a case when VW <F �1 . For ARCH models with various innovation distributions, we evaluate VW, V2 and V4 numerically. The numerical studies elucidate some interesting features of the Whittle estimators." @default.
- W417503413 created "2016-06-24" @default.
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- W417503413 date "2006-01-01" @default.
- W417503413 modified "2023-09-23" @default.
- W417503413 title "NOTE ON ASYMPTOTICS OF WHITTLE ESTIMATORS FOR SQUARE TRANSFORMED ARCH(∞) MODELS" @default.
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