On location estimation for LARCH processes |
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Authors: | Jan Beran |
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Institution: | Department of Mathematics and Statistics, University of Konstanz, Germany |
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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 -rate of convergence are symmetry of the innovation distribution and skew-symmetry of the ψ-function. |
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Keywords: | 60F17 62F35 62M10 91B84 |
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