Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances

Cited in

(22)

Consistency for least squares regression estimators with infinite variance data
TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
Modified tests for variance changes in autoregressive regression
Estimation for first-order autoregressive processes with positive or bounded innovations
NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
A note on the asymptotic covariance matrix of the Yule-Walker estimator
Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
Linear prediction of ARMA processes with infinite variance
Limit distributions for linear programming time series estimators
STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS
On convergence of LAD estimates in autoregression with infinite variance
General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
Spectral density estimation for stationary stable processes
The consistency of the L₁norm estimates in arma models
Estimation for regression with infinite variance errors
scientific article; zbMATH DE number 4064318 (Why is no real title available?)
Multivariate functional least squares
Subsampling tests for the mean change point with heavy-tailed innovations
Sign tests for long-memory time series
Limit theory and bootstrap for explosive and partially explosive autoregression
Estimating linear representations of nonlinear processes
Parameter estimation for some time series models without contiguity

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