Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance

DOI10.1016/0047-259X(90)90078-VMaRDI QIDQ1822873zbMATH OpenFDO

Authors Elisabeth Gassiat

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(90)90078-V

zbMATH Keywords

autoregressive model of order pcausalityconsistent estimatesinfinite variancenon-causal modelspeed of convergencestable processstationary AR(p) process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Note on Sums of Independent Random Variables with Infinite First Moment
• An $L^p$-Convergence Theorem
• Autoregressive processes with infinite variance
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• On Quotients of Moving Average Processes with Infinite Mean
• Robust identification of a nonminimum phase system: Blind adjustment of a linear equalizer in data communications

Cited in

(9)

• Adaptive estimation in noncausal stationary AR processes
• Estimation semi-paramétrique d'un modèle autorégressif stationnaire multiindice non nécessairement causal. (Semi-parametric estimation of a stationary, multi-indexed, non necessarily causal autoregressive process)
• scientific article; zbMATH DE number 6603212 (Why is no real title available?)
• scientific article; zbMATH DE number 55168 (Why is no real title available?)
• Estimation for the semipareto processes
• Model selection for infinite variance time series
• A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
• Semi parametric estimation of extremal index for ARMAX process with infinite variance
• Model identification for infinite variance autoregressive processes

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