Una nota sobre el delta-ésimo momento en modelos ARMA-APARCH con distribuciones condicionales estables y GEV

Thiago R. Sousa, Cira E. G. Otiniano, Silvia R. C. Lopes

Resumen


En un modelo de series temporales ARMA-APARCH con innovaciones Z, la condición de delta - estacionariedad del proceso APARCH envuelve el delta-ésimo momento de la diferencia entre el valor absoluto de las innovaciones con el producto del parámetro de asimetría y las innovaciones. Este momento permite calcular de forma mas eficiente las estimativas de máxima verosimilitud de los parámetros del modelo. En este artículo, son obtenidas expresiones explícitas de ese delta-ésimo momento onde Z tem distribución estable y GEV. Esos momentos se han implementado en nuestro paquete GEVStableGarch disponible en CRAN R-PROJECT desarrollado para estimar los parámetros de los modelos ARMA-GARCH / APARCH con innovaciones estables y GEV.


Palabras clave


ARMA; GARCH; APARCH; Estacionalidad; Distribución estable; Distribución GEV

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Referencias


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DOI: http://dx.doi.org/10.17268/sel.mat.2018.01.02

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