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

DOI10.1007/BF02400925zbMath0891.62010MaRDI QIDQ1365727

Joop Mijnheer

Publication date: 8 September 1997

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

zbMATH Keywords

least squares estimate; domain of attraction of a stable law; autoregressive AR(1) model

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62F12: Asymptotic properties of parametric estimators

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

62E20: Asymptotic distribution theory in statistics

Related Items

Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors. IV. A note on the case of a negative unit root, Maximum likelihood estimators in regression models with infinite variance innovations

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