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Necessary and sufficient conditions for the identifiability of observation-driven models

Abstract : In this contribution we are interested in proving that a given observation-driven model is identifiable. In the case of a GARCH(p, q) model, a simple sufficient condition has been established in [1] for showing the consistency of the quasi-maximum likelihood estimator. It turns out that this condition applies for a much larger class of observation-driven models, that we call the class of linearly observation-driven models. This class includes standard integer valued observation-driven time series, such as the log-linear Poisson GARCH or the NBIN-GARCH models.
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https://hal.archives-ouvertes.fr/hal-02088860
Contributor : François Roueff <>
Submitted on : Thursday, April 30, 2020 - 11:28:20 AM
Last modification on : Wednesday, June 24, 2020 - 4:19:56 PM

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  • HAL Id : hal-02088860, version 2
  • ARXIV : 1904.02893

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Randal Douc, François Roueff, Tepmony Sim. Necessary and sufficient conditions for the identifiability of observation-driven models. 2020. ⟨hal-02088860v2⟩

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