{"id":"https://openalex.org/W2109468805","doi":"https://doi.org/10.1109/isspa.2007.4555429","title":"Arch parameter estimation via constrained two stage least squares method","display_name":"Arch parameter estimation via constrained two stage least squares method","publication_year":2007,"publication_date":"2007-02-01","ids":{"openalex":"https://openalex.org/W2109468805","doi":"https://doi.org/10.1109/isspa.2007.4555429","mag":"2109468805"},"language":"en","primary_location":{"id":"doi:10.1109/isspa.2007.4555429","is_oa":false,"landing_page_url":"https://doi.org/10.1109/isspa.2007.4555429","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 9th International Symposium on Signal Processing and Its Applications","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045000754","display_name":"Saman Mousazadeh","orcid":"https://orcid.org/0009-0005-8785-5136"},"institutions":[{"id":"https://openalex.org/I166459259","display_name":"Shiraz University","ror":"https://ror.org/028qtbk54","country_code":"IR","type":"education","lineage":["https://openalex.org/I166459259"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Saman Mousazadeh","raw_affiliation_strings":["Electrical Engineering Department, School of Engineering, Shiraz University, Shiraz, Iran","Electr. Eng. Dept., Shiraz Univ., Shiraz"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical Engineering Department, School of Engineering, Shiraz University, Shiraz, Iran","institution_ids":["https://openalex.org/I166459259"]},{"raw_affiliation_string":"Electr. Eng. Dept., Shiraz Univ., Shiraz","institution_ids":["https://openalex.org/I166459259"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5036406617","display_name":"Mahmood Karimi","orcid":"https://orcid.org/0000-0002-7100-6042"},"institutions":[{"id":"https://openalex.org/I166459259","display_name":"Shiraz University","ror":"https://ror.org/028qtbk54","country_code":"IR","type":"education","lineage":["https://openalex.org/I166459259"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Mahmood Karimi","raw_affiliation_strings":["Electrical Engineering Department, School of Engineering, Shiraz University, Shiraz, Iran","Electr. Eng. Dept., Shiraz Univ., Shiraz"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical Engineering Department, School of Engineering, Shiraz University, Shiraz, Iran","institution_ids":["https://openalex.org/I166459259"]},{"raw_affiliation_string":"Electr. Eng. Dept., Shiraz Univ., Shiraz","institution_ids":["https://openalex.org/I166459259"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000817784","display_name":"Mehdi Farrokhrooz","orcid":null},"institutions":[{"id":"https://openalex.org/I166459259","display_name":"Shiraz University","ror":"https://ror.org/028qtbk54","country_code":"IR","type":"education","lineage":["https://openalex.org/I166459259"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Mehdi Farrokhrooz","raw_affiliation_strings":["Electrical Engineering Department, School of Engineering, Shiraz University, Shiraz, Iran","Electr. Eng. Dept., Shiraz Univ., Shiraz"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical Engineering Department, School of Engineering, Shiraz University, Shiraz, Iran","institution_ids":["https://openalex.org/I166459259"]},{"raw_affiliation_string":"Electr. Eng. Dept., Shiraz Univ., Shiraz","institution_ids":["https://openalex.org/I166459259"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I166459259"],"apc_list":null,"apc_paid":null,"fwci":1.7058,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.87118822,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"iv","issue":null,"first_page":"1","last_page":"4"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11447","display_name":"Blind Source Separation Techniques","score":0.9896000027656555,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10688","display_name":"Image and Signal Denoising Methods","score":0.9883000254631042,"subfield":{"id":"https://openalex.org/subfields/1707","display_name":"Computer Vision and Pattern Recognition"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.7681207060813904},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5971493721008301},{"id":"https://openalex.org/keywords/minimum-variance-unbiased-estimator","display_name":"Minimum-variance unbiased estimator","score":0.5726646780967712},{"id":"https://openalex.org/keywords/least-squares-function-approximation","display_name":"Least-squares function approximation","score":0.5262134075164795},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5009584426879883},{"id":"https://openalex.org/keywords/estimation-theory","display_name":"Estimation theory","score":0.4989969730377197},{"id":"https://openalex.org/keywords/consistent-estimator","display_name":"Consistent estimator","score":0.43719571828842163},{"id":"https://openalex.org/keywords/m-estimator","display_name":"M-estimator","score":0.4307098984718323},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.42302364110946655},{"id":"https://openalex.org/keywords/efficient-estimator","display_name":"Efficient estimator","score":0.4192039370536804},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.39936363697052},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3471166491508484}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7681207060813904},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5971493721008301},{"id":"https://openalex.org/C165646398","wikidata":"https://www.wikidata.org/wiki/Q3755281","display_name":"Minimum-variance unbiased estimator","level":3,"score":0.5726646780967712},{"id":"https://openalex.org/C9936470","wikidata":"https://www.wikidata.org/wiki/Q6510405","display_name":"Least-squares function approximation","level":3,"score":0.5262134075164795},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5009584426879883},{"id":"https://openalex.org/C167928553","wikidata":"https://www.wikidata.org/wiki/Q1376021","display_name":"Estimation theory","level":2,"score":0.4989969730377197},{"id":"https://openalex.org/C164172150","wikidata":"https://www.wikidata.org/wiki/Q1782585","display_name":"Consistent estimator","level":4,"score":0.43719571828842163},{"id":"https://openalex.org/C143791395","wikidata":"https://www.wikidata.org/wiki/Q475208","display_name":"M-estimator","level":3,"score":0.4307098984718323},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.42302364110946655},{"id":"https://openalex.org/C35594927","wikidata":"https://www.wikidata.org/wiki/Q2265984","display_name":"Efficient estimator","level":4,"score":0.4192039370536804},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.39936363697052},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3471166491508484},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/isspa.2007.4555429","is_oa":false,"landing_page_url":"https://doi.org/10.1109/isspa.2007.4555429","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 9th International Symposium on Signal Processing and Its Applications","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1576326745","https://openalex.org/W1966471264","https://openalex.org/W2115724285","https://openalex.org/W2152804254","https://openalex.org/W2168158211","https://openalex.org/W2170614369","https://openalex.org/W2296319761","https://openalex.org/W4229692665","https://openalex.org/W4250589301"],"related_works":["https://openalex.org/W2349547417","https://openalex.org/W1984619412","https://openalex.org/W2910434125","https://openalex.org/W3092888124","https://openalex.org/W2035998077","https://openalex.org/W4239491110","https://openalex.org/W2356451205","https://openalex.org/W2036696807","https://openalex.org/W2915452620","https://openalex.org/W2350206592"],"abstract_inverted_index":{"This":[0,20],"paper":[1],"discusses":[2],"the":[3,12,27,49,52,55,62,66,82,90],"constrained":[4],"two":[5,28,94],"stage":[6,29,95],"least":[7,30,96],"squares":[8,31,97],"(CLS2)":[9],"estimator":[10,21,35,53,64,71,86],"of":[11,14,26,61,84],"parameters":[13],"ARCH":[15],"models":[16],"under":[17],"known":[18],"order.":[19],"is":[22,36,87],"a":[23],"modified":[24],"version":[25],"(TSLS)":[32],"estimation.":[33],"The":[34],"easy":[37],"to":[38],"obtain":[39],"and":[40,65,93],"fast":[41],"since":[42],"it":[43],"involves":[44],"only":[45],"quadratic":[46],"optimization.":[47],"At":[48],"same":[50,56],"time,":[51],"has":[54],"asymptotic":[57],"efficiency":[58],"as":[59],"that":[60],"TSLS":[63],"widely":[67],"used":[68],"quasi-maximum":[69,91],"likelihood":[70,92],"(QMLE).":[72],"Simulation":[73],"results":[74],"show":[75],"that,":[76],"even":[77],"for":[78],"small":[79],"sample":[80],"size,":[81],"performance":[83],"our":[85],"better":[88],"than":[89],"estimators.":[98]},"counts_by_year":[{"year":2016,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}
