Title :
Extended LMMSE estimator for the parameters of a GARCH process
Author :
Juan Pablo Pascual;Nicol?s von Ellenrieder;Carlos Horacio Muravchik
Author_Institution :
LEICI - Instituto de Investigaciones en Electr?nica, Control y Procesamiento de Se?ales, UNLP, CONICET, Argentina
Abstract :
In this work we present an extended version of a linear minimum mean square error (LMMSE) estimator for the conditional variance of a GARCH process and its coefficients. We derive the estimation algorithm with an approach analogous to the Kalman filter, although system matrices turn out to be random. Finally, we illustrate the behavior of the LMMSE algorithm by means of simulations with a particular GARCH process.
Keywords :
"Zirconium","Kalman filters","Mean square error methods","Estimation","Indexes","Manganese","Rail to rail inputs"
Conference_Titel :
Information Processing and Control (RPIC), 2015 XVI Workshop on
DOI :
10.1109/RPIC.2015.7497120
