On location estimation for LARCH processes

  • Authors:

  • Jan Beran

  • Affiliations:

  • Department of Mathematics and Statistics, University of Konstanz, Germany

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2006

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Abstract

We 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 n-½ -rate of convergence are symmetry of the innovation distribution and skew-symmetry of the ψ-function.