M-estimation for general ARMA Processes with Infinite Variance

DOI10.1002/sjos.12003zbMath1364.62229MaRDI QIDQ2852629

Rongning Wu

Publication date: 9 October 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/sjos.12003

zbMATH Keywords

bootstrap; time series; infinite variance; ARMA process; M-estimation; stable distribution; non-causality; non-invertibility

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M09: Non-Markovian processes: estimation

62G09: Nonparametric statistical resampling methods

60F17: Functional limit theorems; invariance principles

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