Pitfalls of fitting autoregressive models for heavy-tailed time series
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Publication:1966374
DOI10.1023/A:1009946321478zbMath0933.62087MaRDI QIDQ1966374
Paul D. Feigin, Sidney I. Resnick
Publication date: 1 March 2000
Published in: Extremes (Search for Journal in Brave)
robustnessheavy tailstime series analysisautoregressionYule-Walker estimationlinear programming estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)
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