Vitesse de convergence de l'estimateur des moindres carrés dans les ARCH périodiques
Resumo
On étudie l'estimateur des moindres carrés d'un modèle ARCH(p) périodique (PARCH(p)). Cet estimateur est construit à partir de la représentation AR périodique (PAR) du modèle PARCH. Nous montrons que cet estimateur est asymptotiquement stable, fortement consistent et nous déterminons sa vitesse de convergence presque sûre (p:s:).
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