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arXiv · 1601.00155

Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

Jean-Marc Bardet·Yakoub Boularouk·Khedidja Djaballah
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Abstract

We prove the consistency and asymptotic normality of the Laplacian Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time series including ARMA, AR($\infty$), GARCH, ARCH($\infty$), ARMA-GARCH, APARCH, ARMA-APARCH,..., processes. We notably exhibit the advantages (moment order and robustness) of this estimator compared to the classical Gaussian QMLE. Numerical simulations confirms the accuracy of this estimator.

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Jean-Marc Bardet, Yakoub Boularouk, Khedidja Djaballah. 2017-02-21. Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes. https://arxiv.org/abs/1601.00155

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