On location estimation for LARCH processes
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 97 (2006)
Issue (Month): 8 (September)
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