Estimation of the impulse response coefficients of a linear process with infinite variance (Q2366550): Difference between revisions
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| Property / DOI: 10.1006/jmva.1993.1039 / rank | |||
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| Property / full work available at URL: https://doi.org/10.1006/jmva.1993.1039 / rank | |||
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Latest revision as of 05:41, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the impulse response coefficients of a linear process with infinite variance |
scientific article |
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Estimation of the impulse response coefficients of a linear process with infinite variance (English)
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30 September 1993
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estimation of impulse response coefficients
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infinite variance
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moving average coefficients
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autoregressive model fitting
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order selection
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Wiener-Kolmogorov prediction theory
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innovation outliers
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linear process
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independent identically distributed random variables
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domain of attraction of a symmetric stable law
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order of consistency
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finite sample behaviour
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simulation study
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