INGARCH模型拟极大似然估计的相合性

Consistency of Quasi-maximum Likelihood Estimators in INGARCH Model

利用拟极大似然方法研究INGARCH模型参数的估计问题,证明了拟极大似然估计的强相合性.模拟结果表明,在样本数较大时,拟极大似然估计比最大似然估计效果更好.

The problems of parameter estimation in the INGARCH model were studied by making use of a method of quasi-maximum likelihood.Strong consistency of the estimators was proved.When the number of the sample is comparatively large,the simulation study shows that the quasi-maximum likelihood estimators perform more better than the maximum likelihood estimators.