Inference for linear and nonlinear stable error processes via estimating functions

DOI10.1016/j.jspi.2012.10.014zbMath1428.62383OpenAlexW2022019417MaRDI QIDQ1931373

You Liang, A. Thavaneswaran, Ravishanker, Nalini

Publication date: 25 January 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.10.014

zbMATH Keywords

stable distributionAR-ARCH modelAR modelRCA modelrecursive on-line estimationsine and cosine estimating functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Stable stochastic processes (60G52)

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