Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations

DOI10.1016/j.jspi.2018.04.001zbMath1392.62276arXiv1506.05830MaRDI QIDQ1644434

Mahmoud Zarepour, Maryam Sohrabi

Publication date: 21 June 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05830

zbMATH Keywords

unit root; autoregressive model; stable process; bootstrapping; non-stationary

Mathematics Subject Classification ID

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

62F40: Bootstrap, jackknife and other resampling methods

60G52: Stable stochastic processes

Related Items

Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations

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