M-estimation for autoregression with infinite variance

DOI10.1016/0304-4149(92)90142-DzbMath0801.62081MaRDI QIDQ1185791

Richard A. Davis, Keith Knight, Jian Liu

Publication date: 28 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

innovations; point process; domain of attraction; infinite variance; autoregressive processes; slowly varying function; stable distribution; moment conditions; scale; \(M\)-estimators; LAD estimator; intercept; critical function; \(LS\)-estimators; consistency of \(M\)-estimators

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

60G10: Stationary stochastic processes

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