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What is Learnable in Valiant's Theory of the Learnable? 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Quasi-MLE for quadratic ARCH model with long memory
Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis · 2015-09-22 · via math.ST updates on arXiv.org

We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter $0< d < 1/2$. A simulation study of empirical MSE is included.

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