Estimation in a first order autoregressive scheme with non—normal stable disturbances

DOI10.1080/00949657708810166MaRDI QIDQ4160283zbMATH OpenOpenAlexFDO

Authors

Publication date 1977

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949657708810166

Mathematics Subject Classification ID

Inference from stochastic processes (62M99)

Cites work

• scientific article; zbMATH DE number 3124374 (Why is no real title available?)
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• Computing the distribution of quadratic forms in normal variables
• Distribution of the Serial Correlation Coefficient
• First Order Autoregression: Inference, Estimation, and Prediction
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• On the Estimation of Autocorrelation in time Series
• Rank correlation and product-moment correlation
• Tables of finite-mean nonsymmetric stable distributions as computed from their convergent and asymptotic series^†
• Testing for serial correlation with exponentially distributed variates
• The moments of the Leipnik distribution
• Uniform Random Number Generators

Cited in

(3)

• CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER
• On coverage probability, independence and normality in batch means algorithms
• Indirect estimation of \(\alpha \)-stable stochastic volatility models

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