Estimation for autoregressive processes with positive innovations

DOI10.1080/15326349208807235zbMath0762.62024MaRDI QIDQ4021156

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

regularly varying tails; estimating equations; slowly varying function; vector autoregressive processes; weak convergence of point processes; positive innovations; positive i.i.d. random variables; rate of consistency of estimators; stationary AR(2) process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

60G48: Generalizations of martingales

60F17: Functional limit theorems; invariance principles

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations, Estimation for a class of positive nonlinear time series models, Inference and martingale estimating equations for stochastic processes on a semigroup, Limit distributions for linear programming time series estimators, Parameter estimation for moving averages with positive innovations, An estimator for parameters of a nonlinear nonnegative multidimensional AR(1) process