On approximate pseudo-maximum likelihood estimation for LARCH-processes

Details On approximate pseudo-maximum likelihood estimation for LARCH-processes On approximate pseudo-maximum likelihood estimation for LARCH-processes

2010-01-12

arxiv.org/abs/1001.1825v1

Bernoulli 2009, Vol. 15, No. 4, 1057-1081

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ189 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ189

Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67--84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes have been investigated in the recent literature. However, there is a lack of estimation methods and corresponding asymptotic theory. In this paper, we consider estimation of the dependence parameters for LARCH processes with non-summable hyperbolically decaying coefficients. Asymptotic limit theorems are derived. A central limit theorem with $\sqrt{n}$-rate of convergence holds for an approximate conditional pseudo-maximum likelihood estimator. To obtain a computable version that includes observed values only, a further approximation is required. The computable estimator is again asymptotically normal, however with a rate of convergence that is slower than $\sqrt{n}.$

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