Publications scientifiques
Eugène Kouassi* (Auteur correspondant)
Patrice Takam Soh
Morvan Nongni Donfack
Jean Marcelin B. Bosson
Communication in Statistics- Theory and Methods
This paper investigates the pseudo-maximum likelihood (PML) estimation of an ARCH(2) model when the innovations' law belongs to the quadratic exponential family. In addition, the error terms are conditionally independent, but not necessarily dependent. The consistency and asymptotic normality of the PML estimator are obtained by means of martingale techniques.
