Estimation for autoregressive processes with positive innovations

DOI10.1080/15326349208807235zbMATH Open0762.62024OpenAlexW2011234115MaRDI QIDQ4021156FDOQ4021156

Sidney I. Resnick, Paul D. Feigin

Publication date: 17 January 1993

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/8890

zbMATH Keywords

estimating equationsslowly varying functionvector autoregressive processesregularly varying tailsweak convergence of point processespositive innovationspositive i.i.d. random variablesrate of consistency of estimatorsstationary AR(2) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Generalizations of martingales (60G48)

Cited In (8)

• Parameter estimation for moving averages with positive innovations
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations
• Estimation for a class of positive nonlinear time series models
• Irregular nonparametric autoregression
• Limit distributions for linear programming time series estimators
• Inference and martingale estimating equations for stochastic processes on a semigroup
• An estimator for parameters of a nonlinear nonnegative multidimensional AR(1) process

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