Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes

DOI10.1111/j.1467-9892.2011.00762.xzbMath1282.62209MaRDI QIDQ5397932

Rong Mao Zhang, Ngai Hang Chan

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00762.x

zbMATH Keywords

maximum likelihood estimate; autoregressive process; heavy-tailed; stable noise and near unit-root

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60F17: Functional limit theorems; invariance principles

Related Items

Trimmed stable AR(1) processes

Cites Work

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