Limit theory for autoregressive-parameter estimates in an infinite-variance random walk

DOI10.2307/3315522zbMath0697.62023OpenAlexW2158466812MaRDI QIDQ3473953

Keith Knight

Publication date: 1989

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

Full work available at URL: https://doi.org/10.2307/3315522

zbMATH Keywords

weak convergencestable lawlimit distributionsM-estimateleast-squares estimatefirst-order autoregressive processinfinite-variance random walkleast- absolute deviations estimate

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

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Cites Work

• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• A bivariate stable characterization and domains of attraction
• Convergence of stochastic processes
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