Asymptotic properties of parameter estimates of generalized autoregression scheme in the unstable case

DOI10.1007/BF01085159zbMath0586.62039MaRDI QIDQ1071423

O. V. Lepskij

Publication date: 1986

Published in: Journal of Soviet Mathematics (Search for Journal in Brave)

zbMATH Keywords

Gaussian processweak consistencymaximum likelihood estimatorstrong consistencyCauchy distributiongeneralized autoregressionnon-stable case

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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