Asymptotic properties of parameter estimates of generalized autoregression scheme in the unstable case
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Publication:1071423
DOI10.1007/BF01085159zbMath0586.62039MaRDI QIDQ1071423
Publication date: 1986
Published in: Journal of Soviet Mathematics (Search for Journal in Brave)
Gaussian processweak consistencymaximum likelihood estimatorstrong consistencyCauchy distributiongeneralized autoregressionnon-stable case
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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