Consistency of Araike's information criterion for infinite variance autoregressive processes
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Publication:1120236
DOI10.1214/aos/1176347145zbMath0672.62092MaRDI QIDQ1120236
Publication date: 1989
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347145
consistency; infinite variance; Akaike's information criterion; autoregressions; domain of attraction of a stable law
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
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