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Abstract

The objective of this note is to prove a useful, non-trivial technical lemma that is needed in the statistical analysis of linear stochastic systems with random system matrices. This study is motivated by the study of the quasi-maximum-likelihood identification method of certain stochastic volatility processes, called the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) processes.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	GARCH processes; identification; random matrix product; Lyapunov-exponents.
Subjects:	Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User:	Eszter Nagy
Date Deposited:	11 Dec 2012 15:29
Last Modified:	11 Dec 2012 15:29
URI:	https://eprints.sztaki.hu/id/eprint/4991

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