| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1147323 | Journal of Multivariate Analysis | 2006 | 17 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
