Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
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Publication:1644434
DOI10.1016/j.jspi.2018.04.001zbMath1392.62276arXiv1506.05830OpenAlexW2963273823MaRDI 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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Stable stochastic processes (60G52)
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Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
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