RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

DOI10.1111/j.1467-9892.1987.tb00420.xzbMath0659.62107OpenAlexW2106188575MaRDI QIDQ3809088

Keith Knight

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00420.x

zbMATH Keywords

rate of convergencesample meanautoregressive processdomain of attraction of a stable lawleast- squares estimatesrobust M-estimate of location

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

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• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Some mixing properties of time series models
• On Quotients of Moving Average Processes with Infinite Mean
• Autoregressive processes with infinite variance

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