A new estimator for LARCH processes

DOI10.1111/JTSA.12689MaRDI QIDQ6148345zbMATH OpenOpenAlexFDO

Authors Jean-Marc Bardet

Publication date 11 January 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.12721

zbMATH Keywords

semiparametric estimationlong memory processLARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

Abstract: The aim of this paper is to provide a new estimator of parameters for LARCH$(infty)$ processes, and thus also for LARCH$(p)$ or GLARCH$(p,q)$ processes. This estimator results from minimising a contrast leading to a least squares estimator for the absolute values of the process. Strong consistency and asymptotic normality are shown, and convergence occurs at the rate $sqrtn$ as well in short or long memory cases. Numerical experiments confirm the theoretical results and show that this new estimator significantly outperforms the smoothed quasi-maximum likelihood estimators or weighted least squares estimators commonly used for such processes.

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Cited in

(1)

• Quasi-maximum likelihood estimation of long-memory linear processes

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