Guaranteed parameter estimation in a first order autoregressive progress with infinite variance

DOI10.1080/07474940008836438zbMath0953.62095MaRDI QIDQ4500805

Alain Le Breton, Victor Konev

Publication date: 7 December 2000

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940008836438

zbMATH Keywords

prescribed precision; autoregression parameter; asymptotically Pareto distribution

Mathematics Subject Classification ID

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

62L12: Sequential estimation

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