Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes

DOI10.1214/08-AOS632zbMath1168.62077arXiv0908.1895OpenAlexW3103017793MaRDI QIDQ2388986

Richard A. Davis, Matthew Calder, Beth Andrews

Publication date: 22 July 2009

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

Full work available at URL: https://arxiv.org/abs/0908.1895

zbMATH Keywords

stable distributionsautoregressive modelsnon-Gaussiannoncausal

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) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Whittle parameter estimation for vector ARMA models with heavy-tailed noises ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates ⋮ Noncausal vector autoregressive process: representation, identification and semi-parametric estimation ⋮ Asymptotics of maximum likelihood estimation for stable law with continuous parameterization ⋮ Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Diagnostic tests for non-causal time series with infinite variance ⋮ Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models ⋮ Trimmed stable AR(1) processes ⋮ A Gini-based time series analysis and test for reversibility ⋮ Noncausal affine processes with applications to derivative pricing ⋮ A bootstrap functional central limit theorem for time-varying linear processes ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Change Point Detection with Multivariate Observations Based on Characteristic Functions ⋮ Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes ⋮ Realized Laplace transforms for pure-jump semimartingales ⋮ Unit roots in moving averages beyond first order ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ Identification of symmetric noncausal processes ⋮ Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes ⋮ Non‐stationary autoregressive processes with infinite variance ⋮ Misspecification of noncausal order in autoregressive processes ⋮ Linear and nonlinear regression with stable errors ⋮ One-step R-estimation in linear models with stable errors ⋮ Model identification for infinite variance autoregressive processes ⋮ A Portmanteau Test for ARMA Processes with Infinite Variance ⋮ Limit theorems for power variations of pure-jump processes with application to activity estima\-tion ⋮ MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES ⋮ Time series models with asymmetric Laplace innovations ⋮ Filtering, Prediction and Simulation Methods for Noncausal Processes ⋮ Inference in heavy-tailed vector error correction models ⋮ Least absolute deviation estimation for general autoregressive moving average time-series models ⋮ Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies ⋮ Noncausal vector AR processes with application to economic time series ⋮ Estimation for Stochastic Models Driven by Laplace Motion ⋮ Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors ⋮ M-estimation for general ARMA Processes with Infinite Variance ⋮ \(L_2\) differentiability of generalized linear models

Uses Software

• STABLE
• fminsearch
• SYMSTB

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum likelihood estimation for noncausal autoregressive processes
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• M-estimation for autoregression with infinite variance
• Time series: theory and methods.
• Unimodality of infinitely divisible distribution functions of class L
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Least absolute deviation estimation for all-pass time series models
• Parameter estimation for ARMA models with infinite variance innovations
• A Method for Simulating Stable Random Variables
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering
• Numerical calculation of stable densities and distribution functions
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• A method for fitting stable autoregressive models using the autocovariation function