M-estimation for autoregression with infinite variance

DOI10.1016/0304-4149(92)90142-DzbMath0801.62081OpenAlexW2056761220MaRDI QIDQ1185791

Keith Knight, Richard A. Davis, Jian Liu

Publication date: 28 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(92)90142-d

zbMATH Keywords

innovationspoint processdomain of attractioninfinite varianceautoregressive processesslowly varying functionstable distributionmoment conditionsscale\(M\)-estimatorsLAD estimatorinterceptcritical function\(LS\)-estimatorsconsistency of \(M\)-estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

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• Autoregressive processes with infinite variance
• Least absolute deviation estimates in autoregression with infinite variance

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