On location estimation for LARCH processes

We consider location estimation when the error process is a stationary LARCH process with long memory in the second moments. The asymptotic distribution of the sample mean and nonlinear M-estimators of the location parameter are derived. Essential assumptions for obtaining asymptotic normality with -rate of convergence are symmetry of the innovation distribution and skew-symmetry of the [psi]-function.

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Year of publication:	2006
Authors:	Beran, Jan
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 8, p. 1766-1782
Publisher:	Elsevier
Keywords:	Long memory M-estimator LARCH process Volatility Central limit theorem Location estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153292