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Pré-Publication, Document De Travail Année : 2021

A new semi-parametric estimator for LARCH processes

Résumé

This paper aims at providing a new semi-parametric estimator for LARCH(∞) processes, and therefore also for LARCH(p) or GLARCH(p, q) processes. This estimator is obtained from the minimization of a contrast leading to a least squares estimator of the absolute values of the process. The strong consistency and the asymptotic normality are showed, and the convergence happens with rate √ n as well in cases of short or long memory. Numerical experiments confirm the theoretical results, and show that this new estimator clearly outperforms the smoothed quasi-maximum likelihood estimators or the weighted least square estimators often used for such processes.
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Dates et versions

hal-03400395 , version 1 (25-10-2021)
hal-03400395 , version 2 (23-03-2023)

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Jean-Marc Bardet. A new semi-parametric estimator for LARCH processes. 2021. ⟨hal-03400395v1⟩
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