On parameters estimation of stationary AR(1) with nonzero mean alpha-stable innovations in the case ]1,2]

zbMATH Open1340.60010MaRDI QIDQ3457403FDOQ3457403

Authors: T. Mami, Abderrahmane Yousfate 

Publication date: 14 December 2015

Recommendations

• Estimating the noise parameters from observations of a linear process with stable innovations
• NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
• Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
• Parameter estimation for nearly nonstationary AR(1) processes
• scientific article; zbMATH DE number 6603212

zbMATH Keywords

stable distributionsnot centered innovationsstationary first-order autoregressive model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stable stochastic processes (60G52)

Cited In (4)

• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Estimating the noise parameters from observations of a linear process with stable innovations
• NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
• Estimating the conditional tail expectation of Walmart stock data

This page was built for publication: On parameters estimation of stationary \(AR(1)\) with nonzero mean alpha-stable innovations in the case \(\alpha\in]1,2]\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3457403)