Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation. (English) Zbl 1416.62497
Summary: In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGRAPH(\(p,q\)) model. The result is useful for the estimation of the COGRAPH(\(p,q\)) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 60G51 | Processes with independent increments; Lévy processes |
| 62M09 | Non-Markovian processes: estimation |
Keywords:
COGRAPH(\(p,q\)) process; Skorokhod distance; pseudo log-likelihood estimation; irregularly spaced time series dataSoftware:
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