Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes

DOI10.1214/08-AOS632zbMath1168.62077arXiv0908.1895OpenAlexW3103017793MaRDI QIDQ2388986

Richard A. Davis, Matthew Calder, Beth Andrews

Publication date: 22 July 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1895

zbMATH Keywords

stable distributionsautoregressive modelsnon-Gaussiannoncausal

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

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Uses Software

• STABLE
• fminsearch
• SYMSTB

Cites Work

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