Estimation of the impulse response coefficients of a linear process with infinite variance

DOI10.1006/JMVA.1993.1039MaRDI QIDQ2366550zbMATH OpenOpenAlexFDO

Authors R. J. Bhansali

Publication date 30 September 1993

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1993.1039

zbMATH Keywords

autoregressive model fittingdomain of attraction of a symmetric stable lawestimation of impulse response coefficientsfinite sample behaviourindependent identically distributed random variablesinfinite varianceinnovation outlierslinear processmoving average coefficientsorder of consistencyorder selectionsimulation studyWiener-Kolmogorov prediction theory

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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(9)

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• Inference for linear and nonlinear stable error processes via estimating functions
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