Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

Jean-Marc Bardet, Yakoub Boularouk, Khedidja Djaballah

We prove the consistency and asymptotic normality of the Laplacian Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time series including ARMA, AR($\infty$),…