On location estimation for LARCH processes

Jan Beran

Journal of Multivariate Analysis, 2006, vol. 97, issue 8, 1766-1782

Abstract: 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.

Keywords: Long; memory; M-estimator; LARCH; process; Volatility; Central; limit; theorem; Location; estimation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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