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

DOI10.1137/1134031zbMATH Open0714.62088OpenAlexW2010017453MaRDI QIDQ3200433FDOQ3200433

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)

• Recursive estimation for regression with infinite variance fractional ARIMA noise
• Sign estimates in moving average models with infinite variance
• Title not available (Why is that?)
• Infinite variance stable moving averages with long memory
• Estimation of parameters of moving average processes
• Title not available (Why is that?)
• Estimation for regression with infinite variance errors

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