scientific article; zbMATH DE number 1301877

MaRDI QIDQ4247103zbMATH OpenFDO

Authors Matthew Calder, Richard A. Davis

Publication date 17 October 1999

zbMATH Keywords

\(M\)-estimatorsARMA modelsleast absolute deviation estimatorleast squares estimatormaximum likelihood estimatorsimulations

Mathematics Subject Classification ID

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

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(12)

• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• 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
• Sieve-based inference for infinite-variance linear processes
• scientific article; zbMATH DE number 3905694 (Why is no real title available?)
• Estimation for a first-order bifurcating autoregressive process with heavy-tail innovations
• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• 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
• On estimation of skewed stable linear regression
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

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