Asymptotic results for long memory LARCH sequences

DOI10.1214/aoap/1050689598zbMath1032.62078OpenAlexW2037114052MaRDI QIDQ1413685

Lajos Horváth, István Berkes

Publication date: 17 November 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1050689598

zbMATH Keywords

asymptotic distributionslong range dependencefractal Brownian motionLARCH sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Special processes (60K99) Functional limit theorems; invariance principles (60F17)

Related Items (13)

A nonlinear model for long-memory conditional heteroscedasticity ⋮ Projective Stochastic Equations and Nonlinear Long Memory ⋮ On approximate pseudo-maximum likelihood estimation for LARCH-processes ⋮ A new estimator for LARCH processes ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ Some results on random design regression with long memory errors and predictors ⋮ On discriminating between long-range dependence and changes in mean ⋮ A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares ⋮ On location estimation for LARCH processes ⋮ Weighted averages and local polynomial estimation for fractional linear ARCH processes ⋮ Inconsistency of the MLE and inference based on weighted LS for LARCH models ⋮ Asymptotic results for the empirical process of stationary sequences ⋮ The \(L^2\)-structures of standard and switching-regime GARCH models

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