scientific article; zbMATH DE number 1301877

zbMATH Open0922.62086MaRDI QIDQ4247103FDOQ4247103

Authors: Matthew Calder, Richard A. Davis 

Publication date: 17 October 1999

Title of this publication is not available (Why is that?)

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zbMATH Keywords

simulationsARMA modelsmaximum likelihood estimator\(M\)-estimatorsleast squares estimatorleast absolute deviation estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (10)

• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations
• Title not available (Why is that?)
• Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
• Forecasting of symmetric \(\alpha\)-stable autoregressive models by time series approach supported by artificial neural networks
• Sieve-based inference for infinite-variance linear processes
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
• Maximum likelihood estimation of stable Paretian models.
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes

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