Parameter estimation for ARMA models with infinite variance innovations

DOI10.1214/aos/1176324469zbMath0822.62076OpenAlexW2092832156MaRDI QIDQ1895361

Robert J. Adler, Tamar Gadrich, Thomas Mikosch, Claudia Klüppelberg

Publication date: 18 October 1995

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324469

zbMATH Keywords

consistency ARMA process difference equation Whittle estimator domain of attraction of a stable law stable innovations sample periodogram

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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