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On approximate pseudo-maximum likelihood estimation for LARCH-processes - MaRDI portal

On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885)

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On approximate pseudo-maximum likelihood estimation for LARCH-processes
scientific article

    Statements

    title
    On approximate pseudo-maximum likelihood estimation for LARCH-processes (English)
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    author
    Jan Beran
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    Martin Schützner
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    published in
    Bernoulli
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    publication date
    15 November 2010
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    zbMATH Keywords
    asymptotic distribution
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    LARCH process
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    long-range dependence
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    parametric estimation
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    volatility
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    Identifiers

    DOI
    10.3150/09-BEJ189
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    Mathematics Subject Classification ID
    62M10
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    62F12
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    60F05
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    65C60
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    62G05
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    zbMATH DE Number
    5816132
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    arXiv ID
    1001.1825
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