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Article Dans Une Revue Journal of Time Series Analysis Année : 2023

A new estimator for LARCH processes

Résumé

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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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 estimator for LARCH processes. Journal of Time Series Analysis, In press. ⟨hal-03400395v2⟩
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