Asymptotic inference for AR(1) processes with (nonnormal) stable errors

DOI10.1007/BF02400925MaRDI QIDQ1365727zbMATH OpenFDO

Authors Joop Mijnheer

Publication date 8 September 1997

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02400925

zbMATH Keywords

autoregressive AR(1) modeldomain of attraction of a stable lawleast squares estimate

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 1165678
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• Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors. IV. A note on the case of a negative unit root
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance

Cites work

• An asymptotic evaluation of the tail of a multiple symmetric - stable integral
• ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• First-order autoregressive models for gamma and exponential processes
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• scientific article; zbMATH DE number 176654 (Why is no real title available?)
• scientific article; zbMATH DE number 3481632 (Why is no real title available?)
• Inference for Near-Integrated Time Series With Infinite Variance
• Limit theory for the sample covariance and correlation functions of moving averages
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Time series: theory and methods

Cited in

(13)

• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors. IV. A note on the case of a negative unit root
• Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
• Maximum likelihood estimators in regression models with infinite variance innovations
• Some remarks on quadratic forms in stable random variables
• On parameters estimation of stationary \(AR(1)\) with nonzero mean alpha-stable innovations in the case \(\alpha\in]1,2]\)
• scientific article; zbMATH DE number 4149409 (Why is no real title available?)
• Asymptotic inference for ar(1) processes with (non-normal) stable errors. III
• scientific article; zbMATH DE number 1165678 (Why is no real title available?)
• scientific article; zbMATH DE number 1894365 (Why is no real title available?)
• Indirect inference for locally stationary ARMA processes with stable innovations
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

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