Guaranteed parameter estimation in a first order autoregressive progress with infinite variance
From MaRDI portal
Publication:4500805
DOI10.1080/07474940008836438zbMath0953.62095MaRDI QIDQ4500805
Publication date: 7 December 2000
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474940008836438
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62L12: Sequential estimation
Related Items
On Sequential Least Squares Estimates of Autoregressive Parameters, Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations, Sequential fixed accuracy estimation for nonstationary autoregressive processes
Cites Work
- Unnamed Item
- Fixed accuracy estimation of an autoregressive parameter
- Convergence of quadratic forms in p-stable random variables and \(\theta _ p\)-radonifying operators
- Conditional generalizations of strong laws which conclude the partial sums converge almost surely
- Conditional moments and linear regression for stable random variables
- Stable processes and related topics: A selection of papers from the Mathematical Sciences Institute Workshop, January 9-13, 1990, Cornell University, Ithaca, NY (USA)
- Order of convergence of regression parameter estimates in models with infinite variance
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Sequential estimation of the autoregressive parameter in a first order autoregressive process
- ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order
- Autoregressive processes with infinite variance
- On sequential estimation of an autoregressive parameter
- Estimators with prescribed Precision in Stochastic regression models
- "Infinite Variance" and Research Strategy in Time Series Analysis
