Estimation for autoregressive processes with positive innovations

DOI10.1080/15326349208807235zbMath0762.62024OpenAlexW2011234115MaRDI QIDQ4021156

Sidney I. Resnick, Paul D. Feigin

Publication date: 17 January 1993

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/8890

zbMATH Keywords

regularly varying tailsestimating equationsslowly varying functionvector autoregressive processesweak convergence of point processespositive innovationspositive i.i.d. random variablesrate of consistency of estimatorsstationary AR(2) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Inference and martingale estimating equations for stochastic processes on a semigroup ⋮ Limit distributions for linear programming time series estimators ⋮ Parameter estimation for moving averages with positive innovations ⋮ An estimator for parameters of a nonlinear nonnegative multidimensional AR(1) process ⋮ Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations ⋮ Estimation for a class of positive nonlinear time series models

This page was built for publication: Estimation for autoregressive processes with positive innovations