A new estimator for LARCH processes

Jean-Marc Bardet

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arXiv · 2110.12721

A new estimator for LARCH processes

Jean-Marc Bardet

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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 $\sqrt n$ 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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BibTeX RIS

Jean-Marc Bardet. 2023-03-24. A new estimator for LARCH processes. https://arxiv.org/abs/2110.12721

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