Autoregressive processes with infinite variance
From MaRDI portal
Publication:4142397
DOI10.2307/3213015zbMath0366.60033OpenAlexW2327325081MaRDI QIDQ4142397
Publication date: 1977
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3213015
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)
Related Items
NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES ⋮ Wold decomposition, prediction and parameterization of stationary processes with infinite variance ⋮ Sieve-based inference for infinite-variance linear processes ⋮ Stable Autoregressive Models and Signal Estimation ⋮ Parameter inference for time series with regular and seasonal unit roots ⋮ Change Point Detection with Multivariate Observations Based on Characteristic Functions ⋮ Volatility regressions with fat tails ⋮ RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS ⋮ Locomotion: exploiting noise for state estimation ⋮ Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations ⋮ M-estimation for autoregression with infinite variance ⋮ Asymptotics of self-weighted M-estimators for autoregressive models ⋮ Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration ⋮ Indirect estimation of \(\alpha \)-stable stochastic volatility models ⋮ Estimating the noise parameters from observations of a linear process with stable innovations ⋮ Smoothed estimates for models with random coefficients and infinite variance innovations ⋮ Inference for some time series models with random coefficients and infinite variance innovations ⋮ Estimation in a first order autoregressive scheme with non—normal stable disturbances ⋮ A note on the asymptotic covariance matrix of the Yule-Walker estimator ⋮ The Durbin-Watson ratio under infinite-variance errors ⋮ Consistency for least squares regression estimators with infinite variance data ⋮ Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance ⋮ Discrimination distance bounds and statistical applications ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ On the underfitting and overfitting sets of models chosen by order selection criteria. ⋮ Spectral density estimation for stationary stable processes ⋮ General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality ⋮ Guaranteed parameter estimation in a first order autoregressive progress with infinite variance ⋮ Linear prediction of ARMA processes with infinite variance ⋮ Estimation for regression with infinite variance errors ⋮ Recursive estimation for regression with infinite variance fractional ARIMA noise ⋮ Statistical inference in regression with heavy-tailed integrated variables ⋮ Unnamed Item ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers ⋮ Weighted quantile regression for AR model with infinite variance errors
