The convergence of estimators based on heuristics: theory and application to a GARCH model (original) (raw)

Computational Statistics, 2009

Abstract

Econometric theory describes estimators and their properties, e.g., the convergence of maximum likelihood estimators. However, it is ignored that often the estimators cannot be computed using standard tools, e.g., due to multiple local optima. Then, optimization heuristics might be helpful. The additional random component of heuristics might be analyzed together with the econometric model. A formal framework is proposed for

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