Autoregressive processes with infinite variance
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(38)- Linear prediction of ARMA processes with infinite variance
- Wold decomposition, prediction and parameterization of stationary processes with infinite variance
- M-estimation for autoregression with infinite variance
- Estimating the noise parameters from observations of a linear process with stable innovations
- A note on the asymptotic covariance matrix of the Yule-Walker estimator
- On the underfitting and overfitting sets of models chosen by order selection criteria.
- Estimation for regression with infinite variance errors
- Recursive estimation for regression with infinite variance fractional ARIMA noise
- Statistical inference in regression with heavy-tailed integrated variables
- Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
- Locomotion: exploiting noise for state estimation
- Smoothed estimates for models with random coefficients and infinite variance innovations
- Consistency for least squares regression estimators with infinite variance data
- Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
- Discrimination distance bounds and statistical applications
- Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
- Volatility regressions with fat tails
- Least tail-trimmed squares for infinite variance autoregressions
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- Stable autoregressive models and signal estimation
- Sieve-based inference for infinite-variance linear processes
- Weighted quantile regression for AR model with infinite variance errors
- Asymptotic inference for AR models with heavy-tailed G-GARCH noises
- Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
- scientific article; zbMATH DE number 4064318 (Why is no real title available?)
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
- Estimation in a first order autoregressive scheme with non—normal stable disturbances
- Guaranteed parameter estimation in a first order autoregressive progress with infinite variance
- Change Point Detection with Multivariate Observations Based on Characteristic Functions
- Parameter inference for time series with regular and seasonal unit roots
- On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models
- Asymptotics of self-weighted M-estimators for autoregressive models
- NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
- Inference for some time series models with random coefficients and infinite variance innovations
- The Durbin-Watson ratio under infinite-variance errors
- Spectral density estimation for stationary stable processes
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
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