• DocumentCode
    3778448
  • 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
  • fYear
    2015
  • Firstpage
    1
  • Lastpage
    6
  • 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"
  • Publisher
    ieee
  • Conference_Titel
    Information Processing and Control (RPIC), 2015 XVI Workshop on
  • Type

    conf

  • DOI
    10.1109/RPIC.2015.7497120
  • Filename
    7497120
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3778448