Estimation of the Parameters of the Moving Average in the Case of Infinite Variance

DOI10.1137/1134031MaRDI QIDQ3200433zbMATH OpenOpenAlexFDO

Authors V. F. Onishchenko

Publication date 1989

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1134031

zbMATH Keywords

residualsconsistent estimatesrobustnessmoving averageinfinite variance consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

Cited in

(7)

• Infinite variance stable moving averages with long memory
• scientific article; zbMATH DE number 1226333 (Why is no real title available?)
• Recursive estimation for regression with infinite variance fractional ARIMA noise
• Estimation for regression with infinite variance errors
• scientific article; zbMATH DE number 4126532 (Why is no real title available?)
• Sign estimates in moving average models with infinite variance
• Estimation of parameters of moving average processes

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