Estimation of the impulse response coefficients of a linear process with infinite variance

DOI10.1006/JMVA.1993.1039zbMath0771.62066OpenAlexW1964168904MaRDI QIDQ2366550

R. J. Bhansali

Publication date: 30 September 1993

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

Full work available at URL: https://doi.org/10.1006/jmva.1993.1039

zbMATH Keywords

linear processinfinite variancesimulation studyindependent identically distributed random variablesorder selectionfinite sample behaviourorder of consistencyinnovation outliersautoregressive model fittingmoving average coefficientsdomain of attraction of a symmetric stable lawestimation of impulse response coefficientsWiener-Kolmogorov prediction theory

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)

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